Raise the rent and advertise as heat included. It make a big difference these days. Get an energy audit and find out where you are losing all the heat. Sometimes $200 in insulation in the attic can save you hundreds per year in fuel!
I just put $700 worth of insulation in the attics (it's a Victorian) and all new windows. This winter wasn't bad but I've had winters where my gas bill for 5 apartments was $1400 a month and my rents are $400-$550. UGH!
How old is the furnace? Has it been serviced lately? At those process you might want to invest in a new high efficiency furnace if your existing one is pretty old... It could be the the furnace is set to an extreme temperature. Lowering the idle temp for the furnace could save you a lot of money too.