I have a hunter programmable thermostat model

Make sure you do not have a jumper between the red and the white. Also make sure the wire is not hanging out from behind the screws. If the heat stayes on no matter what you do. The red wire has to be touching the white somewhere.
The red is your 24v supply to the thermostat
The white is what sends the 24v to the heat side of unit.
Just a thought. If the thermostat has a O/B pin or switch on the back. Make sure it's on O. It should only be ob B if it's a Trane, American Standard or Payne.