There are far too many variables to know for sure. What fuel does the central heat use? Where is the house built? What sort of sun exposure do you get? What type of house is it? What’s in your attic? Basement? How much time do you spend at home during the day?

I would go with the central heat, generally speaking.

Homes are insulated differently depending on where you live, but the exterior walls are usually better insulated than the interior ones. The heat in one room will dissipate to neighboring rooms. You’re correct that closing vents will direct the hot air to the desired rooms first. Over the course of the day, some of the energy will disperse and warm other rooms. One space heater might use less energy than your central air, but you will need to run it longer and more frequently.

You may also find that you’re keeping the one room hotter because you’re always cold in every other room. Getting warm and staying warm are two different physiological processes. Keeping the house at 66 may feel warmer than keeping one room at 72.

Consider what each heat system was built to do. Central air is there to keep the house warm. Central air is most efficient when it is automated to maintain heat. Allowing the space to get very cold every day will cause it to run longer when you feel cold.

Meanwhile, a space heater is a short-term hot spot in a room. It’s designed to create immediate warmth in the immediate area. Use it when you are feeling cold to get yourself warm, and then shut it off. If you use each one to do its job, that’s probably going to be the most efficient.

The best thing you can do for your energy bill is insulate. Get a temperature sensor, wait for a cold day, bring your entire house up to ~70, and then go hunting for cold spots. Check around window sills and near brick or masonry walls. Airflow through your walls is dollar bills flying out of your wallet. You can place film over leaking windows, replace caulk when it cracks, and fill voids that happen when old insulation breaks down or gets wet. Check your attics and crawlspaces for airflow as well, and consider reflective foil as an inexpensive upgrade if you can get to the rafters.

If everything is properly insulated, all heating and cooling becomes more efficient.