Maintain your current heating system properly: clean registers, baseboards, or indoor units; clean or change filters as needed.
Get a home performance assessment.
Look at your south walls and the surrounding landscape; consider how you can improve access to winter sun. Remove screens on south-facing windows in winter if possible.
Install a programmable thermostat.
Start searching for a good HVAC contractor.
Turn down your thermostat and wear a sweater.
Heating projects that will take more time:
Add windows and thermal mass to improve your passive-solar heating.
Upgrade insulation and air sealing.
If you have ducts, have them cleaned, sealed, and insulated.
Select and install a new high-efficiency heating system.