If you’re basically living in one or two rooms in an otherwise unoccupied house then the space heater is probably better since you won’t have to deal with the thermostat being in another area.

If you’re going to need heat in different rooms all over the house then I’d say let the central heat do it’s job. You really don’t want to deal with running around opening and closing vents and having to warm up another room every time you need to go in there. It will be a pain in the ass and probably cost a lot more.