Update:

Last night I had the thermostat set at 67 F all night. This
morning's outside temperature was 39 F. When I woke up at
about 7 AM, I set the thermostat one degree higher. at 68 F.
It's digital and so seems to tolerate this fine tuning well.
The heat pump came on immediately. The registers blew cool
air for maybe a minute or so, but then turned warm and
stayed warm. The warm air coming out was noticeably and
steadily warming the house, so I left the thermostat at 68 F
for 20 minutes or so. Then I raised it to 70 F. The heat
pump came on/continued on, blowing strictly warm air. Twenty
minutes later I raised the thermostat another three degrees.
The heat pump continued to work fine.

I never heard noises from the heat pump like I did yesterday
(after monkeying with the thermostat a lot), too.

The lesson from all my reading at the newsgroup and on the
net is that (1) a heat pump tends to have more "inertia" to
overcome (for its size) than a furnace (this includes
blowing the old cool air out of the ducting and getting the
refrigerant circulating until the correct system
temperatures are reached. Plus compressor speed and system
expansion valve setting has to change? All kinda slowing
things up compared to a gas furnace); (2) a possible defrost
cycle; (3) the "emergency" heat strip operation can confound
the heat pump control system response somewhat; and (4) a
heat pump is more of an "on-off" heat source than a
gas-fired furnace, because the flow of air and temperature
at output is pretty constant. The thermostat bumps the heat
pump on and off as needed. Whereas a furnace can crank out a
much wider variation of temperatures and maybe flows of air
(more natural gas/furnace burners lighting = higher temps
much more quickly)? Something like this, from my analysis
and folks's comments.

Ralph, I am definitely thinking about those heat strips. I
understand that, if possible, I want to avoid them coming on
so as to minimize electricity costs. The danged heat strips
just have no place in a heat pump "system" AFAIC anyway.
Technically they ain't no heat pump but instead a
modification and the ultimate in heating waste. Hopefully
through improved heat pump thermostat operation, I might
even see our electrical bills go down here.

Anyway, I am toasty warm here. I will post an update if I
note other changes. Thanks for helping me have a nice warm
house Xmas morning. Happy holidays to all.