Nah. Assuming you have an adequate heat reservoir, a heat engine/pump is far more efficient than simply running electricity through a wire. On the order of three times more efficient. But this assumes that you're not trying to operate it in bitter cold temperatures (a heat pump extracts heat from the reservoir and dumps it into the room). You're not going to find many small heat pumps though (refrigerators qualify but you'd have to do some hacking to convert it into a room heater).
One thing to do is make sure you have adequate humidity in the room. You'll be surprised how much warmer 68 degrees at 60% relative humidity feels compared to 68 degrees at, say, 30% humidity. It's like night and day.