I have had a Heat Pump for a few years now, but I am not happy because it runs a long time ramping up to the day time temp. Am using more power by using a set back thermostat? Should I set it to a closer temp between day and night? I set it at 67 in the day and 62 at night. If it is about 34 outside it takes about 3 or more hours to come up to temp. I have the unit serviced every fall and it is always in great shape.

Set it at a temperature you can live with and leave it there. Heat pumps were not designed to be used with set back controls. Long recovery times and the kicking in of the expensive to run resistance heat during recovery is why I make that statement.

My heat pump feels like it is blowing cold air, the outside temp is about 0 *F, and the settings are Fan on Auto, and on the heat setting, the Aux heat has kicked in but the air does not seem to warm up. Other than something wrong with the Aux unit, is there a problem with my settings on the thermostat.

At 0* F outside, you are better off simply switching to emergency heat. Your heat pump is virtually worthless at that temperature. You are using way more electricity than you are getting heat. Why would anyone install a heat pump where temperatures drop that low? Once you get below about 40*, heat pumps aren't much good.