In a big house that is well insulated, you should look to heat the entire property when possible, if you have a fully operational central heating system. That said, if you spend a lot of time in an individual room that is smaller than a quarter of the size of the full home, it might prove a prudent option to heat that single space on its own, via electric radiators, for example.
If you want to know more about the most cost effective means to heat your home specifically, explore our dedicated blog, Heating the house vs heating the home: Best practice for lower energy bills.