Heating buildings still takes more energy than air conditioning (usually much larger temperature differentials), people in the past used an enormous amount of energy on heating. They just consumed and generated the energy locally in the form of burning fuel, probably wood and coal instead of using an electric grid or natural gas.

Also, I don't think A/C is any more of an energy wasting gadget than a heater. I can survive, moderately comfortable on a camping trip down to -10C, probably colder if I needed but I certainly wouldn't want my office/home to get that cold. Similarly, I don't want my house to be 30C with 85% RH.