here's what I HAVE noticed. When we had the old thermostadt, we would slide the lever over to "about 72ish", and swear it wasn't very warm.
Now, my husband... the bill payer!... would come along and see the little temperature indicator that hangs inside the thermostadt and it would be saying something like 75/76ish. That would send him into proxims and he would immediately turn it down to 64ish.
One day I got smart and hauled the temperature gauge in from the garden shed and set it up near the thermostadt. Well, wouldn't you know, that just because the indicator said it was 75/76, didn't mean it actually was. It was merely 70. When my husband would turn it down to 64, it was about 58!!!!!!
So, we bought an electronic thermostadt. Well, when THAT little puppy said it was 70 degrees, it WAS 70 degrees. So that solved the problem.
Of course, the gas bill went up, but it was because we never had a good reading off the old thermostadt and we were freezing at 70 degrees most of the time. It could just be that your new thermostadt is correct, and now you're paying the real bill.