I've installed CFL's everywhere I can that doesn't involve reading-I just haven't found one that provides yellow enough light to suit me. They DO save on the utility bill.

Back to your question:

Using incandescent bulbs as a heating source is terribly inefficient. All of the random energy emitted by the bulb is absorbed by whatever it shines on. It will then be subject to convection release-it will just rise to the highest point in the volume (room). I'm pretty sure you would save money by using CFL's everywhere you can and relying on your central heating system to keep warm. If you do go this route, ceiling fans would help-but they use electricity too and I don't know how much savings you would see.

BTW-I think LED lighting is by far more efficient than even CFL (a much higher percentage of the energy is emitted as visible light) , but the cost of LED medium-base bulbs is shockingly high. Check out the prices at www.1000bulbs.com and other vendors.
Be sitting down when you look. I would love to do LED's throughout the house, but we're talking pro-sports star kind of money!

Just my opinion, you understand?