When we say we are “using up energy”, we actually mean we are using up the energy that is in a form that is easy or convenient for us to access (usually a fuel). The energy isn’t being destroyed, it is simply being converted to another form that is more difficult to store or concentrate in large amounts. Put another way, the energy in a fuel is in a low entropy state (high order), which is then transformed to a high entropy state (disordered, chaotic or dispersed) by the act of using it do work. The energy is “lost” from the viewpoint of no longer being available for us to do what we want with it (it is now in some less accessible form such as hot air, sound, friction, and so on – thus the importance of insulation when heating your home or office!). A lot of research these days is actually being directed at recapturing this “lost” energy, for example, regenerative braking in electric cars.