If you want to maximize the energy efficiency of a rocket, you want variable exhaust velocity, and make the exhaust velocity = - the velocity of the rocket. That leaves the exhaust motionless in the initial reference frame, so it will have no kinetic energy (in that reference frame). Therefore, all the kinetic energy being generated by the rocket is being retained by the rocket.

(This ignores potential energy from changes in altitude.)

This is one reason why it's better to use a lower Isp propellant on the first stage of a multistage launcher (also, those propellants are much denser.)