I have a older york thermostat and on the heat settings it has 3 settings

Them heat auto off

Which one should I use to get heat or which one is better, them heat or auto?

Thank you...

You failed to tell us what kind of system you have. Gas,oil,electric,heat pump?

Oil---hot air

Auto should work fine since it is oil. Usually a thermostat with emergency heat setting is used for a heat pump with electric emergency backup heat.