Shannon, the gas valve on the furnace should have plate somewhere that says what the amp rating is. Then just set the stat anticipator to the same.
Otherwise, if you can't measure it yourself, then try Harold's trial and error method or else call an hvac serviceman.
That said, the anticipator usually keeps the furnace running a set length of time after the burners go off. If yours doesn't come on like it should then you may have other problems such as the stat out of level or the thermometer (or your perception thereof) may be off and many stats can have thermometers (sp) that can be up to 5 degrees off. Maybe your old one was off and therefore your perception of a certain temperature in the house is wrong. Set your thermostat to the appropriate comfort level you want since the actual number setting could vary by up to 5 degrees. Put another thermometer nearby to see if they are different or set your old thermostat on the wall next to the new one to see if they are different.