I know there is a switch on my fan to change the direction of the blades. (I know one way is supposed to pull heat away from the ceiling) One way makes it cooler and another warmer. I'm not sure which is which. Which way should the fan turn and why?

The blade "attack" angle when operating determines the air flow so the blade when "down" and rotated in a clockwise direction (for illustration purposes) will draw the cool air upwards heat rises thus cooling the room
But if rotated in the other direction the warm air is sucked down keeping the temperature high
Experiment to try (safe) get a piece of toilet tissue,kleenex or small feather ,turn the fan on to high speed, now hold the paper or whathaveyou underneath the fan, but well clear of the blades and release it
Note what it does if it's drawn upwards its cooling and if it is blown to the ground then it is keeping the warm air in the room

A fan blowing downward will provide a "wind chill" effect to keep you more comfortable during warmer weather. A room at about 80 degrees with a properly sized fan may feel as comfy as one at 72 degrees using air conditioning only.

During the winter the fan should be set on its lowest speed, to produce no "wind chill," and operate in reverse. Cooler air from the room will displace warmer air at the ceiling, which will in turn move along the ceiling and down the walls to help heat the room.

Thanks guys!

I run mine in "winter mode" all the time. I don't care much for the wind blowing on me at night and it seems to keep the ceiling cooler in the summer too. It definitely lowers the temperature in the room without the direct breeze.