Either way, turning the heating off when not required will give you lower bills than leaving it on to avoid the house cooling down. 
I always thought that but we've tried both and it's actually cheaper for us to leave it on
But we have started to turn the stat down a little (if we remember
) when we're out. Mind you... It's not often the house is empty for more than a couple of hours anyway 
The wood burner gets lit of an evening (better do that in a minute) and that then takes the temp up to what SWMBO wants and keeps the heating off until the early hours of the morning when the temp has dropped enough for the stat to fire it up again 
I think it actually depends on your heating system.....
For example.....if i go around my parents house, who have a nearly new gas boiler and some of the rads are energy efficient ones and they turn the heating on.....within about 10 mins the rads are really hot (too hot to keep your hand on).
So in this case, I can see only having the boiler on when needed would be most efficient way.
In my house where the boiler is 30+ years old and roars away for at least an hour before its got the rads hot and only then when its got the water upto temp it then switches off/on due to thermostat.
In my case, its probably using more gas to let the boiler go cold and then let roar away again for another hour to get the water temp back up....