There are a few options:
1) Garage. This is ideal if you MUST go outside. You're going to waste a lot of fuel using one of the propane type heaters outside. Well, you will go through it a lot faster than if you were in some type of enclosed space. I have a torpedo heater in my garage. I do auto detailing as a side hobby for extra income. This makes my garage around 50 degrees on low setting, and is good for 12+ hours on a few gallons of diesel fuel/kerosene. I wash cars all winter long out there in a t shirt and jeans.
2) Kitchen. I have smoked a few cigars right at the kitchen stove. Just have to have the exhaust fan on. Mine is the type that is the microwave/fan combo that mounts right over the range. I set my ashtray on the head of the stove, near the wall. There is never any lingering smell.
3) Install an exhaust system in your mancave. This is what I'm working on right now. Another member here linked me to a fantech 10xl. Retails for around 400. Then ductwork, and some wiring, and a separate circuit on the breaker box for the power. I'm allowing between 7-800 for the project. Hopefully its done before winter.
The torpedo I have is similar to this one:
