A heat pump system tries to make heat by running the a/c in reverse, and extracting whatever heat it can grab from the outdoor air. That typically only works when the outdoor air is "cool," not when it's "cold." Once the heat pump can't keep up, the system kicks on an auxiliary electric heating coil to make up the difference. If your thermostat is telling you "Aux," then you are in that mode. If the system isn't getting the house up to temperature, it could mean that the electric heat coil isn't activating when called upon ... or it could mean that the builder shorted you on insulation and the house is losing heat faster than the heating system can replace it. Were you in the house last winter? If so, did the heat keep up?