Even the best-quality glazing loses heat more quickly than an uninsulated cavity wall. This means that conservatories are not thermally efficient and should not be heated. Provided they are never heated, and the doors between the conservatory and the heated house are kept shut in cold weather, they can actually reduce heat loss by acting as an extra insulating layer outside your house.
You can make the most of this by installing a sealed sliding door, and sealed blinds or heavy, lined curtains to separate the conservatory more effectively from the rest of your house.
If you heat your conservatory, any benefit you may have had will soon disappear along with the heat that escapes into the outside air.
Double glazing, blinds and shutters can all reduce the amount of heat wasted, but it is not possible to bring a conservatory up to the thermal standard of even an averagely insulated room. If you want to save energy and money save your conservatory for the summer.