Running your gas fireplace will always be cheaper than running your main whole house gas furnace to heat the entire house.
If you only need to heat the space where the gas fireplace is then running the gas fireplace will save you money on the gas bill than running your gas furnace to heat the whole house.
A gas furnace uses more BTU'S than a gas fireplaces so the gas furnace will use more gas which is needed to heat the entire house.
Make sure though to keep the rest of the house above freezing such as in the bathroom or anywhere where water pipes are to prevent them from freezing and bursting open and causing water damage.