how to set the heater control

If I understand your question correctly, you're asking if you should allow the MX-5 to allow outside air to come into the car to be heated OR use the recirculate mode to allow the air to heat faster. At first, yes..use the recirculate mode to heat the interior faster, but remember to switch to the normal outside air setting once the interior (and you) are nice and toasty. WHY? Leaving it on recirculate mode for too long will cause an uneven balance between exhaled Carbon Dioxide and Oxygen and you'll start feeling a bit dizzy at this point...lol

This picture might make it easier or you can always check your owners manual.