While this practice can save some energy, there are some possible downsides. For one, if home humidity levels are high, condensation can occur in the cooler rooms as warm, moist air from heated rooms travels into the cooler rooms. More importantly, water pipes in exterior walls of these unheated rooms can freeze as outdoor temperatures drop. When closing off heating vents, it is important to inspect these rooms for signs of moisture and mold, and consider opening vents during cold snaps.
Generally, it is recommended to never close more than 20% of your registers (vents). Doing otherwise may compromise the efficiency and function of your HVAC system.
On a bit more technical side ... if at all possible, after supply registers have been closed off, verify whether the furnace gas valve is cycling off and on (flame off - flame on - flame off within a 5-10 minute period) while the delivery fan runs continuously during a call for heat. This situation is a symptom of poor airflow through the furnace and will compromise overall performance of the furnace.
