Commercially sizing is done on the basis of 'worst case scenario'. Contractors hate to be called back or to deal with complaints, "The furnace you installed doesn't keep my house warm"
The problem: To be efficient, the unit should run flat out most of the time. There aren't many systems that work well at partial settings.
To have sufficient capacity for the worst case, it has to be drastically oversized most of the time.
You have to run it infrequently, and store the output.
You don't have to take their advice.
Option 1. Add buffering to the system.
An oversize unit wastes energy short cycling. If you have some form of storage, the unit can run for longer periods efficiently, and turn off for a longer period of time.
For hot water systems this is easy to do: You put in a large insulated buffer tank, so when the boiler runs, it has to get several times its own volume hot. If your system will work at the right temp, and you use the boiler to also heat your DHW, you can use your hot water tank as the buffer.
You are still buying a unit that is too big.
For forced air, it's much more difficult. I can come up with schemes that involve running all the air through a room full of water filled pop bottles, but this is either a lot of aggravation or a lot of expense.
Option 2. Use multiple units in parallel.
These are turned on successively as the demand increases.
E.g. If you are using hydronic heating, buy a single high efficiency hot water heater about 1/4 the size that the contractor recommends but leave room to add a second one if one isn't enough. I wish I had done that. I have a 90,000 BTU unit that has never run for more than 3 minutes at a time. I should have gotten a 20,000 BTU hot water heater instead. (My house is 2500 square feet. I live in a 10,000 degree day (F) climate. Worst temp to date is -47 F)
A school where I worked maintenance, replace a single 3 million BTU boiler (hot water and radiator) with 5 150,000 btu boilers. Two were nominally for DHW, and 3 were nominally for radiators (they had different set points.)
So, for example, in the radiator setup one boiler would come on when circulating hot water dropped below 140, #2 would come on if it dropped below 135, and #3 would come on at 130. This reduced on/off cycling by a bunch.
The units were interchangeable, and had quick disconnects on them, plugs fitted to the termostats. The service guys could uncouple one, and take it back to the shop to fix in less time than it took to drive from the shop.
Option 3. Use a modulated fire unit.
This is a unit that doesn't have to be full on or full off. Some have just high/low, some have continuous fire control.
Option 4 Accept being chilly at times.
The heating unit to first approximation will maintain a given temperature differential between inside and outside. If your normal winter is -20 and you want your house at 70 then the unit is maintaining a 90 degree differential.
In addition a house built to current standards (R-2000) has enough thermal mass that it will take about 24 hours to respond to a change in temperature. So an overnight excursion to -40 will likely produce a 10 degree drop in internal temperatures with a unit sized to -20.
Addition tricks you can use under these circumstances: Partially block ducts in seldom used portions of the house. Tune your house to be comfortable in the parts you live in, and occasionally chilly in the other parts.
With natural gas prices right now, the return on investment is lengthy. I use about 70 GJ (~700 therms) a year, which costs me about $600/year. Of that $400 is energy, and the rest fixed fees. We pay 3-7 bucks a GJ. (All currency is canadian)