Vacuum the vents throughout your home or wipe them down with a damp towel. Dust that collects around these vents can recirculate into the room every time the heat turns on. Cleaning them well will stop allergy-suffering at its source.
Make sure the damper on your fireplace is completely closed. Keeping a damper open all winter long is like having a small window open. Brrrr! Not sure if it's open or closed? Place a featherweight plastic bag (like a grocery store bag) in the fireplace; if it flutters, it's probably open. By keeping the damper closed, you'll keep cold air from seeping in, saving you energy and money.
Winter Warm-Up Week: Keep the blustery cold air outdoors by stopping drafts at windows and doors. Place a draft dodger -- a long fabric tube -- along the edges where cold seeps inside to stop it in its tracks. For smaller windows, you can make your own dodger: Just fill a large sock -- like an athletic sock -- with pebbles, tie a knot at the end, and place.