Ensure all your ducts are properly sealed - you can use aluminium foil tape to wrap the joints and transitions. Don't use "duct tape" - it will get brittle and become worthless pretty quickly, and despite the name is not actually designed for duct work.
Insulate all exposed supply ducting - there are many DIY products for insulating your ductwork.
Ensure your return registers are clean so your furnace gets the proper amount of airflow, and make sure there is nothing blocking the combustion air to the furnace. And of course, make sure you have a clean furnace filter.