It takes much less energy to heat the area under your clothes, using existing heat, than to heat a room or building with artificially generated heat. Your body is 37 deg C. Wearing low-insulation clothing and letting that heat float away, and then heating the entire room or building to warm you up again, is absurd if you understand basic physics and think for a moment.
Wear a sweater, wear shoes (that's where the cold air is). Keep the thermostat at the lowest comfortable temperature - experiment a bit and test what you become accustomed to, and you'll know for the rest of your life. Do that and you lose nothing. Maybe go a step further and wear long underwear and maybe even a hat; why not?
Another way to look at it: Only use the energy that you need. Heating a building when you aren't there is silly. [0] Heating rooms you aren't in is a similar waste - if and when you can, get a heating system that segregates areas. Heating the entire room when you are in one place, and already generating heat, is also a waste. Just put on some insulation and trap the heat that's already there.
All heating is local. (Edit, because people are omitting the obvious implications: The consequences, climate change, are global.)
[0] You'll be fine waiting for it to heat when you need it, or just use a thermostat with a timer or remote control.