There was an article about this in the American Journal of Physics [1, 2] a couple years back, and the authors calculated that heating a room from 273K to 300K (32F to 80F) causes it to expel about 10 percent of the air inside it.
Somewhat surprisingly, the authors don't comment on how relevant this is to the question of when to turn your heater off. The fact that allowing a room to cool draws in cold air from the outside means that the practice is worse than you would naively think, but I don't know when if ever that actually suggests leaving the heater on a constant setting. I'd be very curious to see someone extend the calculation to give an answer.
[1] http://scitation.aip.org/content/aapt/journal/ajp/79/1/10.11...
[2] http://www.stat.physik.uni-potsdam.de/~pikovsky/teaching/stu... [PDF]