Just remember that if you've got the heater on then that's more energy being converted into heat and therefore not pushing you forward.
Actually, it depends on whether the engine is hot or cold.
Before it's fully warmed up, I'd agree you want the heater off so that the engine will get to operating temperature as rapidly as possible. But once it's got there, that heat is an unwanted byproduct and the engine has to use some of its power to get rid of it, by driving the water pump & circulating the coolant. Once you reach the point when the radiator fan cuts in, you're using a tiny bit more power for cooling (that electricity has to be generated), so it might save you a miniscule amount of fuel to turn up the heater & reduce the electrical load from the fan.
In practice, once the engine is warm I doubt even I'd be able to detect the mpg difference, so perhaps the best advice is just to use the heater to maintain a comfortable temperature in the passenger compartment
Getting the engine up to temperature, particularly in the UK winter, is another matter altogether, and I've long been of the belief that some form of thermostatically controlled grille shutters (cowl flaps, if you like) could be of significant benefit.