Insulation is no option here, without really ruining the house. We have original 1773 plaster on stone walls, and anyone willing to cover that - after it's been repaired and preserved at great expense by so many previous owners - should be hauled out shot, IMO. With 9 exterior doors and more than 60 exterior windows, I don't think our primary enemy is wall insulation, anyway. So, we're doing what we can to improve weather stripping and sealing around doors and windows, about half of which are original 1770's, and the other half new.
A pellet stove would certainly help, but I dislike the concept of replacing a fuel with fairly stable prices and currently-limitless supply, with another I have to go buy, haul, and worry about finding mid-winter. A wood stove satisfied me in many ways, so I simply installed two of them. Not for everyone, I know, but...