His climate is likely mild enough to gain advantage from higher COP through the vast majority of the heating season. However, his 40 F breakpoint is probably about right cost wise.
for $0.75 you get 0.73therms of heat output . At 29.3kwh/therm that's equivalent to 21.4kwh, so you're paying $0.75 for 21.4kwh of heat, or 3.5cent/kwh of heat.
If you're running with a COP of 2.0 and paying 7cents/input kwh for 2kwh of heat, that's also 3.5cents/kwh.
But at a COP 3.0 you're paying 2.3cents/kwh.