Definitely only heat when needed unless you have solar. If you have solar, then take advantage of the "free" heat that is available on every sunny day.

If you have gas heat, fire it up on Friday night. If you have a heat pump, fire it up on Thu night or Friday morning as the heat pump will take a littler longer to heat the pool when campared to a gas heater. This all assumes you have an average size pool (15K-25K gallons). If you have a smaller pool then definitely only heat when needed and if you have a very large pool (40K+ gallons), it may be better to maintain a setback temp throughout the week and then hit final temp at the end of the week.

This will also depend on how many sq.ft. your pool has, how much exposure to wind your pool has and how humid the air is so results may vary for your particular situation. These factors all effect evaporation which is the largest cause of pool heat loss.

Hope this helps!

I concur the warmer the pool is the more energy it takes to maintain that temperature.