Here are some things that you can do:
Filters: Inspect air filters and clean or replace as necessary.
Registers: Reduce dust in your home by vacuuming heat registers and the cold-air return as part of your regular cleaning.
Ducts: Examine exposed supply ducts for gaps or leaks allowing heated air to escape. Look for gaps and run your hand along exposed supply ducts with the blower running to feel for escaping air. Seal any leaks with duct tape.
Listen: Listen to your condenser, evaporator and furnace when they are running. If you hear unusual noises, follow the appliance manual's directions, or consult with your professional heating contractor.