Simple hint when upgrading from classic Honeywell round thermostats
This may seem simple, but even Honeywell doesn't document this. On old round heat-only thermostats, you have only two wires, but there is no label on either one. The actual wire used could be just about anything, so you can't go by colors either. It seems that the terminal at roughly the six or seven o'clock position should be connected to "R" and the one at roughly eight or nine o'clock should be connected to "W". "R" and "W" are definitely the only terminals that operate, so if you still don't get heat, perhaps you only need to reverse them.
Also, if you're upgrading to a Honeywell programmable thermostat, don't forget to leave enough clearance on the right side so that you can replace the batteries without dismounting the thermostat.