Four tea lights won't heat a room much more than a couple of 60 watt incandescent lights. For comparison, an electric heater designed to heat a room typically produces 1500 watts of heat. While the tea lights will eventually warm up the room a bit, the low output means you'll want to light them long before you intend to use the room if it's pretty cold to begin with. Also, the flower pots improve efficiency by acting as thermal masses, so they need to warm up before you'll start feeling heat.
Will it save you money? Maybe. Compare the cost of replacing tea lights to 120-150 watts of electricity (keeping in mind that electric heat requires little to no warm up period). Starting a fire will negate the savings pretty quickly.