It's really impossible to say for sure as it depends on your insulation, whether you have individual room thermostats etc etc etc.
In a well insulated house I'd say it's more economical to just set the thermostats to a comfortable temperature and leave the heat on all the time, but I don't know for sure as I've never done a meaningful test.
Why don't you try each method for a week and read your meter each time to get an idea of how much fuel each method consumes?