If you can slip a dollar bill through the cracks of the doors/windows leading to outside, you are losing energy and paying higher fuel bills. Seal the cracks with insulation strips.
Also use a timed thermostat to lower temperatures while away from the home.
Close doors to rooms, so that heat can stay within each room. Close vents if you have extra rooms that are not in use to force heat into highly utilized rooms.
Use alternative heating methods, such as space heaters or wood burning fireplace w/chimney (proper ventilation).