Should the upstairs thermostat be set a little higher than downstairs in the winter?

Why? I learned in science class that hot air rises. Are the bedrooms upstairs? People sleep more soundly when bedrooms are cool.

Doesn't make any difference with 2 thermostats. You can set them where you want. If this a Gas or HW system? If you set the down thermostat to where you want, heated air will go up and the upper unit will not respond if ambient temp is above the set point. You do need to be very aware of air leaks through upper rooms or you will lose a lot of heat.