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)