Even with an ordinary thermostat, cranking it up can be effective in some realistic situations. If some corners of the house take longer to heat up than the location of the thermostat, they'll reach the desired temperature faster if you let the thermostat itself and the rest of the house get a few degrees warmer first. Or to put it differently, scoffing at people who crank up the thermostat is justified only under the assumption that it measures the temperature of the whole house accurately, which is a pretty shaky assumption when you think about it.

As the moral of the story, even when your physics is guaranteed to be more accurate than folk physics, that's still not a reason to scoff at the conclusions of folk physics. The latter, bad as it is, has after all evolved for robust grappling with real-world problems, whereas any scientific model's connection with reality is delicately brittle.

That's an important lesson, generalizable to much more than just physics.

Since about 50 years ago all but the lowest-end thermostats are designed to be "anticipators" — they shut off the heat before the requested temperature is reached, then gradually approach it with a lower duty cycle. More often than not, the installer doesn't bother to fine-tune this, in which case it can take a long time to reach equilibrium. Turning it a few degrees warmer than you actually want isn't a completely stupid idea.

(reference: http://en.wikipedia.org/wiki/Thermostat)