Call a professional to inspect and service your furnace before winter. Clean your furnace filter monthly for optimum performance -- a poorly maintained furnace won't heat your vaulted room as efficiently. Consider replacing an old furnace with a newer one with better performance.
Check for leaks around windows and doors that may be letting cold air into the room. Use weather-stripping and window caulking to seal out the winter draft, helping to insulate the room.
Remove window treatments, allowing solar heat to warm up the room during the day. Clean the windows periodically to allow maximum sunlight into the room.
Install a programmable thermostat that is set to a cooler temperature at night and during periods when no one is home. Program the thermostat to a higher temperature when the room is in use.
Position a portable space heater in the room for targeted warming areas, such as a corner chair where someone is sitting and reading.
Turn on a ceiling fan to circulate the air, pushing warm air down off the ceiling, dispersing it into the room.
Replace old heating systems with radiant-floor heating, which is installed under wood or tile floors. The wood or tile acts as a thermal storage device, making floors toasty warm and keeping the heat lower in the room.