You could try using a portable fan to blow air across the radiator so that the room becomes more evenly heated. The moving air will actually extract more heat from the radiator than still air would, so you may find that this makes the room noticeably warmer.
Geothermal Heat Pump
Efficiency
If upfront cost is of no concern, a Geothermal heat pump is the most efficient heating/cooling system. According to the Department of Energy, geothermal heat pumps can be between 300 - 600% efficient.
Financing
There may be government programs available to help fiance the installation of the system, as well as state programs.
Payback
Some sources estimate a payback period as short as 3 years, though actual results may vary. If you switch your main house over as well, use the system for hot water, and take advantage of government programs. The payback period could actually be quite short.
Electric Baseboard Heaters
Efficiency
Since electric heat is 100% efficient, every ounce of electricity used it converted to heat.
Financing
If there is adequate space and power available in the service panel, an electric baseboard heating system is fairly inexpensive to install.
Payback
Depending on the cost of electricity in your area, electric heat may or may not save you money over other heating options.
Natural Gas Room Heater
Efficiency
Since it's a smaller area, a standalone natural gas forced air system may not make sense. However, a smaller natural gas room heater (or a few) might make sense. Natural gas room heaters can be between 65 - 100% efficient (depending on the heater), so they can be quite efficient.
Financing
As with electric room heaters, natural gas room heaters will be fairly cheap to install.
Payback
Again, depending on the cost of fuel. A natural gas room heater may or may not save you money over other heating options.
More Info:
The U.S. Energy Information Administration has a Heating Fuel Comparison Calculator (Xls) that might be useful.
Best Answer
You should definitely run it with the flue open, all that smoke/CO needs to go outside, not in the house. You mentioned two vents on the bottom. Those are likely there to allow you to close the front and allow the fire to still get air. As SqlACID mentioned, spending $100 or so on a reputable chimney sweep to come take a look at it in person would be a good idea; they would be able to help you use it to its best advantage.
I would experiment with closing the front and see what effect it has on the burning rate as well as the heat produced. It is also a good idea to try to move the warmth produced by the stove into the rest of the house, so running a fan to pull that warm air away might also be something to try.
What make/model of stove do you have? I might try googling the make/model to see what comes up on how to best use it.