Actually, that’s not true.
Your heater runs at a specific wattage. Let’s say you have a 1000W heater. Whether the thermostat is set to high or low, the heater always runs at 1000W.
When you set the thermostat to a higher Temperature, this simply means the thermostat will run longer until it reaches that higher set point.
Ideally, to save energy you would want to set the thermostat to the lowest temperature that makes your room feel comfortable. Then the thermostat will regulate the room temperature to stay at that comfort level.