We have a brand new oil burner. Even though I set the thermostat to 72, it doesn't get higher than around 68 even when I turn the thermostat up to 80.

How old is your house? In a very cold climate, depending on insulation, weatherstripping, leaks etc, your heat flow out of the house may be more than the heater can replace. How much insulation in attic? 16"? storm windows? At 0 outside and 68 inside, you have a substantial flow through an underinsulated house.
I gather you are in the NE, with oil heat, and it's been -25 wind chill in many places.