The most efficient way to heat would still be generating electricity from gas. You lose 50% of the energy (well, you can still use part of the residual heat for

The most efficient way to heat would still be generating electricity from gas. You lose 50% of the energy (well, you can still use part of the residual heat for heating, too), but with the electricity, you can run a heat pump that heats with about 400% efficiency. 50% × 400% is still 200%, so twice as good as burning gas for heat.