Thanks everyone for the input and responses. Some additional clarifications:
1) Yes - I didn't mention any of the basic materials and gear that are essential in cold conditions: sleeping bag rated to 0F or better, thermo-reflective sleeping pad, fleece sleeping bag liner, layered clothing (including my favorites, fleece gloves and a balaclava under a wool hat) and a Nalgene bottle full of hot water at the bottom of the sleeping bag. In a smaller tent, the right gear can keep you plenty warm. Maybe add a 1 or 3-candle UCO lantern for the minutes before/after climbing into the sleeping bag? I want to test that.
2) I agree my approach with the electric blankets and mattress heater wasn't set up correctly. After I bought those products, I realized that a) they aren't meant to be used inside or under a sleeping bag, so I would have to use a different bedding system than the one I have (see #1 above), and b) having to run my engine to recharge my auxiliary battery each day did not sound like a good solution. My camping style is to set up a base camp and stay a few days. But I agree that in the right use situations, with the right bedding, those two products could be very helpful. If I can't figure out a way for the Propex heater to warm BOTH the tent and annex at night, an e-heat solution might be the only one that works overnight in the annex.
3) I should have mentioned that the Propex heater was surprisingly efficient with its propane consumption. I was told it had a 60-hour run time on a 20lb tank. After three days in the field, I believe it. And, importantly, those 60 hours are run time, not the actual cycling time that the thermostat controls. In 20F conditions, I would estimate the Propex heater was cycling 2 minutes on / 8 minutes off overnight, and that kept the tent plenty warm. Also, I learned that the efficiency of the heater goes WAY up when you configure a good circulation system with an intake hose that pulls warm air back to the heater. That's why it is frustrating that the kit only comes with a single 5-foot hose. I had to buy parts from the U.K. to replicate the hose that comes with the kit after several failed attempts to make one with local products. That could be a whole separate thread if anyone is interested!
4) A recommendation? Well, it's hard to really compare each of these products since they work in very different ways and span a wide range of cost. The Mr. Heater Buddy is great for creating a wave of very hot, moist air with a bit of an odor. The Propex is great for turning any space into a climate-controlled environment with clean, dry, warm air on a thermostat. I also like that the Propex is very safe since all combustion happens outside the tent. But the Propex is CRAZY expensive when you compare it to the cost of any other camping gear and even the tent itself! By the time you pay for a roof top tent and Propex system you have spent half of the cost of a teardrop trailer that comes with its own heater, I think.