Check for drafts around your windows. I had to caulk between my window sill and the molding underneath last year which so far as saved me $25 on my electric bill over this time last year.
Sealed plastic(as linked by BCR) over the windows will help as well and/or curtains as suggested.
If your HVAC is in a closet, place foam pipe covers or a towel at the bottom of the door to keep the draft from coming in. There is an "As seen on TV" product which is sold at wally world, kmart, etc which actually works. If the HVAC is in the room itself, try covering it with foam board insulation, a blanket, or a towel.
For the winter months on my BPs, I use a 40w red light to supplement heat.
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