No you should never plug an electric space heater into a surge protector, power strip, extension cord or anything else other than the outlet directly.
An electric space heater draws a lot of wattage and amperage and can easily overload circuits and melt a surge protector or even a power strip.
Always plug the electric space heater directly into the electrical outlet otherwise it could cause a house fire.
Make sure the plug to the space heater fits tightly into the electrical outlet and does not hang loose in the outlet.
If the plug feels loose in the outlet then the outlet needs changed because the bad connection can heat the outlet and plug up and start a fire.
Electric space heaters are safe as long as you use them correctly and safely.
Keep any combustibles at least 3 feet or more away from the back, sides and front of the space heater to avoid a fire.