What is the most efficient way to heat third floor rooms?

If you have ceiling fans on the 2nd floor, you may be able to divert heat, by setting fans on summer setting (counter clockwise), in hopes of directing heat up. You can add small battery operated corner fans in the stairwell to further direct heat, but ultimately, you'll most likely need thicker carpeting (preferably wool), down comforters, flannel bedding, wall textiles, and thermally lined draperies over plastic covered windows, if that's feasible. Upholstered furniture retains heat better than metal/glass.

Using a humidifier on the 3rd floor may also help, larger plants with grow lights, incandescent lightbulbs, etc.

I envision wool or polar fleece clothing in their future, if you're in a colder area.

Heat will rise. Leave the stairwell door open, and insulate as Oliva suggests. I lived in an old 2 story house in the Northeast with electric heat on the second floor. I never had to turn it on, and sometimes had to crack the window to get a good night's sleep. The oil filled space heaters are pretty efficient these days. In a different house, I used one in an unheated bathroom to take the chill out for showers & baths.

You’re really limiting yourself by not using space heaters. The new units are very safe. They have an instant shut-off if they are tilted at even a slight angle. They are also energy efficient.

I use an electric space heater with no issues whatsoever. I have lots of pets and is cool to the touch. Automatic shut off if bumped or knocked over. Hardly draws any electricity and barely makes a dent in my overall usage. Do your homework and purchase quality and it will last for many years to come.

You can always install a DIY mini split. I installed 2 of them in my home and they work well.

https://do-daddy.com/diy-mini-split-installation/