It depends on how picky you are as regards saving gas (and money). If you turn on the heating higher than needed, you are heating the house up at great expense. If you go for an optimum temperature (I assume that you know what an ideal temperature is for you), then that is the cheaper option. Either way, it's a bit picky, I would say.
it's best IMO to put it on the temp you want it to be (assuming you are talking about a thermostat here) No point in it being higher - it wont heat any quicker
A house WILL heat more quickly if the boiler central heating water temperature is turned up (most, if not all, boilers will have some means of adjusting the CH water temp). However, the downside is that the radiators, and any other exposed pipework, may become uncomfortably hot to touch.
We have a wireless thermostat which has five settings for each day. Never goes above 20C, which to my mind is plenty hot enough. It's never on in the bedroom (turned off at radiator).
There's no point in turning up the heat and then turning it back down. You are wasting fuel if you do that.