Then you use insulation. This especially is something that feels nobody in the US has heard of. At least in California.
As a result, your radiators are turned down to 2 out of 10 all day (heating turns off automatically overnight), and you have to sometimes open a window when it's -13C outside so you don't sweat.
Now I don't know how much people spend on heating when they live in a house house, but my apartment's heating bill this winter was about 30 euro a month[2] and I had to keep all my radiators turned off because the one in the bathroom couldn't be regulated. So that alone was enough to heat everything to extremely comfortable levels.
tl;dr don't heat with air, insulate your fucking house, and install modern windows
[1] Could just be where I'm from, but it seems fairly common in Europe and not at all something I've seen in the US
[2] I think my gramps spends about 2k euro in October to pay for natural gas that heats his house until some time in April. So about 300/month for a ~10 bedroom house because he's got a house that's way too big.