Should I break the blister on my heel?

You may. Let it drain but try to leave skin intact.
No. It is best to leave the blister intact to prevent infection of the area.
Usually best not to. Blisters by and large should be left intact. This is a sterile situation and once the blister breaks, bacteria enter and infection can set in. The blister will protect the underlying skin and allow re-growth to begin and the fragile new cells will not be damaged. Cover, pad and protect and leave alone. It it breaks, use soap and water and keep clean and dry. Cover and use topical antibiotics.
Protect it. An unpopped blister represents a closed sterile environment. Yes on occasion one can become infected then it is time to open it, however the risk of infection in a dressed open wound is still higher than that of an intact blister. The blister will gradually resolve with time.