Start with the return registers and follow the return ductwork back to the furnace. There's usually a return plenum at the furnace where the filter is located. Trace the heating supply ductwork to each room. Repair any damaged or disconnected ducts. Use sheet metal screws to connect ducts.
Some systems have in-line dampers to adjust the amount of heat each room gets.
Label which rooms each damper controls. If there are rooms that are always cold or hot, adjusting dampers can improve your winter comfort. It's common in the Northwest to use building cavities as return ducts. Because materials such as wood framing, plywood and drywall don't form airtight seals, building cavities used as return ducts bring in large amounts of outside air. They are the most important place to start duct sealing.