The cheapest way to heat a room is to use a natural gas or propane heater.
You can use the vented natural gas or vented propane heaters although the vented propane and vented natural gas heaters are safer.
But even the natural gas or propane non vented heaters are safe as long as you allow some fresh air into the bedroom or home when they are in operation.
If you have no natural gas or propane then the other cheapest way to heat a room is to use an electric space heater.
The electric space heater emits no carbon monoxide and uses the electricity coming into your home to heat the room.
Fan forced electric space heaters are best at heating a room while the infrared heaters are good and best at heating people.
It's most often cheaper though to turn on the furnace and heat the whole house instead of using space heaters though to try and heat more than one room.
Electric space heaters can use as much as $150.00 to $200.00 per month so heating with natural gas is more efficient and cheaper than electric heat.