Before you leave your house for the day, shut the drapes over the windows. As the blustery, chilly air blows outside, the drapes will help to minimize the cold air from seeping inside. Be sure to lower the thermostat, too, if no one will be at home all day and raise it back up when you come home.
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.