Space heater efficiency and light bulb efficiency in winter
Electric heaters are darned near 100% efficient at what they do: convert the electric potential in your home's power to heat. Other heating appliances can't claim as high an efficiency (for example, an oil boiler might be somewhere in the mid 80-90% range for efficiency, loses being related to incomplete combustion). However, what you might have heard is that the relative cost of heating with electricity is greater than other means.

Here is a nice comparison/calculator of costs to produce the same amount of heat with various heating sources.

Regarding sources of light: I believe you are correct in your assumption. If you would be heating your home anyway, an "inefficient" incandescent bulb will provide you will useful heat. However, keep in might the cost of electric heat vs cost of other heat sources available. Also consider where the lights are relative to you. If they are all near the ceiling you might not sense much benefit from their heating.