Oil Filled Radiator. What's the most efficient setting ?

The power settings only controls the speed at which the heater can deliver heat.

Think of a kettle. A 500W and a 2kW both boil water. But the 2kW will do it in a quarter of the time. (Assume no heat loss)

Now if you have a drafty room, your low wattage heater can't deliver heat fast enough to heat the room, so you need a higher wattage to deliver heat faster and keep the temperature up.

To answer your question of what's the most 'efficient" the answer is to lower the temp by 2 degrees and put a jumper on.

Beware electricity is very expensive to heat a room say compared to oil or gas. However if you only have one zone to heat house then it may make sense if you only want to heat one room. If you have central heating and turn off every other radiator in house then heating using central heating may make more financial sense.

Even an electric heat pump can be 4 times more efficient than an electric heater. For example a heat pump clothes dryer.

To answer your question the energy going in to the heater all comes out so 100% efficient even if source of energy is 4 or 8 times more expensive than other options.

Ideally the thermostat should be on far side of room to measure heat properly. Typically it will be slower to heat up on lower settings so at the start you will be in a cold room longer. Typically I would wear vest, shirt, heavy jumper, then put mobile heater next to me with doors closed then try turn it off when the room is no longer cold. Even heavy woolly socks can make a massive difference along with drinking tea etc.

you need a heat pump to get better than 1kw of electricity = 1Kw of heat

some will give you 1Kw of electricity = 3Kw or better of heat