The non-Gaussian operations effected by adding or subtracting a photon on entangled optical beams emerging from a parametric down-conversion process have been suggested to enhance entanglement. Heralded photon addition or subtraction is, as a matter of fact, at the heart of continuous-variable entanglement distillation. The use of such processes has recently been experimentally demonstrated in the context of the generation of optical coherent-state superpositions or the verification of canonical commutation relations. Here, we carry out a systematic study of the effect of local photon additions and subtractions on a two-mode squeezed vacuum state, showing that the entanglement generally increases with the number of such operations. This is analytically proven when additions or subtractions are restricted to one mode only, while we observe that the highest entanglement is achieved when these operations are equally shared between the two modes. We also note that adding photons typically provides a stronger entanglement enhancement than subtracting photons, while photon subtraction performs better in terms of energy efficiency. Furthermore, we analyze the interplay between entanglement and non-Gaussianity, showing that it is more subtle than previously expected.