You are on the right track. I also have a project like this in the pipeline.
The cheapest device for wireless communication is MHz serial links like this one from spark fun (also available on eBay)
The wires are easy to solder to the pins and there is no coil antenna used but a discrete smd antenna instead that saves a ton of space compared to the coil antennas. I am not sure about the range though. You can also get these in MHz that increase range or more expensive zigbee GHz/GHz that give you plenty of bandwidth and range!
It all depends on what kind of control you have on your central heating. My centra heating has a thermostat that turns on 220volt to the boiler if its cold and turns it off when its above the setting. That is simple in my case and I can use a simple high voltage relay to override the thermostat.
I cannot advise you here about electronics but there is https://electronics.stackexchange.com/ and you can take some photos of your thermostat wires and ask a specific question on there. There are some really good guys on there.
Obviously- Using a Raspberry Pi just to control a relay (or as temperature sensors) is NOT economically viable. So you might have to take a trip down Arduino lane. There are aTiny'ies but they don't have a proper SPI on them. So you cant hookup RF modules that easy to them. This might help you make your own cheap Arduino. and they use proper proper atMega's here with proper UART's, SPI's and plenty of IO's. They are compact and are quite powerfull for 8mhz chips. ATMEGA168, ATMEGA328, ATMEGA328p are all compatible with Arduino IDE and programmers. They also cost about 2-4usd each and can run standalone after they are programmed.
Your command and control centre can be the Raspberry Pi, that sends commands on your RF networks, runs a database, get temperature from other devices, runs a web server for your frontend.