The pressure gauge is supposed to rise when the heating is on. It'll usually go up by about half to a whole bar.
You should have your system pressure at about 1 and a quarter when the boiler is cold.
If it's much higher than this, you might be causing yourself problems - the pressure relief valve in the boiler is set to blow at 3 bar, so if your pressure is normally at 2 to 2 and a half, then it will rise to 3 when your heating is on and the prv will blow.
Check your pressure when cold, make sure it's not too high.
BunSlinger, September 2008