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Heat pumps are not designed to heat in sub-freezing temps. You may have supplemental resistance heating elements inside your air handler. Yes turn them on, but you won't achieve a comfortable temperature.
A blanket statement like that doesn't apply to every situation. I have a two-speed Lennox heat pump that can keep 72¬∞F indoors and cycle on/off, at ambients down to 27¬∞F or so, without using the auxiliary. Haven't had anything lower than that in a while. I have the auxiliary locked out at ambient of 25¬∞F or above (except during defrost).
Emergency and auxiliary are the same heat source in the system (electric strips or whatever). The term "emergency" is used if/when the heat pump compressor fails completely and the heat strips are the only available source of heat. Usually a switch on the thermostat is manually flipped to shut off the compressor and enable the electric strips to run exclusively.
The term "auxiliary" is used when the outdoor temp falls below the balance-point at which the heat pump alone cannot supply sufficient heat and the electric strips cycle on/off as needed to assist, while the compressor continues to run normally. This is still cheaper and more efficient than running in pure emergency mode.
I'm no expert on the industry, but I would assume a modern heat pump would have exernal temp sensors and other safeguards to prevent the compressor from running if it was dangerous to the health of the system.