Still puts off some gasses, it's not 100% exhaust free. And in a bedroom you would probably die before you realized it wasn't operating properly.
I agree with JB on the insulation issue also. I've spent a winter or two in the south and Atlanta isn't that bad. How much fuel did you use last January (CCF's)? Seems like you're using alot of fuel which can be controlled unlike the gas companies.
Luckily I still haven't gotten hit. I'm heating a 2300sq. ft 100 year old colonial whose insulation leaves alot to be desired. I put in a new 93% efficient furnace last year and got locked in for two years on my propane price. When it's cold like it is now, the furnace runs about 30 minutes per hour but I only burned around 1000 gallons of propane last year. And here in Ohio, our highs are normally your lows. My 3500sqft office (which is a victorian house renovated into an office) burned 267 CCF's last January. It's a 91% 120,000 btu furnace and it runs alot because even with proper insulation this place doesn't stay extremely warm especially with the front door opening all day long.