So.. frankly sounds like my house (and not that far away from me either so we have similar weather)

The quick answer is not to 'replace' the oil furnace. Central heating systems are expensive.

Adding a heat pump could make a big difference for you. Keep the oil heat as backup. But the new heat pumps are good down to -15 and we rarely see that these days. Larger heat pumps can support multiple units so you can spread the heat throughout the house (upstairs and downstairs or whatever your layout).

Heat pumps are not as expensive as new central heating. They are easier and cleaner than wood (though it never hurts to add a wood stove if you have the time, money or inclination or if you are worried about extended electric outages).

Wood is great if you are active and able. But at my age.. I'm about over wanting a woodstove. The wood heat is lovely.. the work is exhausting. And the heat pump will also cool the house in August.