Yea, I recommend having a high quality thermostat to control it. I've read one too many horror stories about lost collections.
And no, no noticeable jump. I mean, I always expect a jump in winter because, well, its winter and the furnace runs all the time.
We also have a programmable thermostat for our house, it keeps it at 63 during the day, so the room HAS to be heated and controlled seperately.
Nope, it seems our bills are all accounted for. But like I said, considerably more expensive in the winter, but that could be due to a crappy insulation job and other crappy things about this house in regards to heating.