There is some nuance here. The efficiency of electric depends partially on how it's produced, and if (emphasis on IF) your local power station burns fossil fuels, and what you're after is heat, then burning the gas inside your house is (generally) far more efficient than burning it in a power station to generate electricity that you then turn back into heat inside your house. There are exceptions, but
Of course the best thing to do is to turn renewable (or long-lasting) forms of energy into electricity. The sun ain't gonna stop shining, the wind ain't gonna stop blowing, magma ain't about to get cold, and those spicy rocks are gonna stay spicy. There's no reason for us to be turning carbon into heat into electricity and back into heat in current year.