Mr Buddy heater question

At temps in the 30-40's overnight the low setting is too warm and yet just that pilot light on is just right. Seems to me the pilot light would burn less propane than having the unit on low with a window open. It has that oxygen sensor so that shouldn't be a problem. I ended up sleeping without it on at all and woke with it 40 inside and 32 outside. Tonight I will try it with the pilot on all night. I like the 4-9,000 BTU for it's ease of controls and it's compact size and when I want to warm up my space it does it fast. On the low setting it is perfect most of the time. I tried the smaller size and didn't like it. Thanks for all your help.