Look for one that is listed with a nationally-recognized testing laboratory. These heaters have been tested to meet specific safety standards, and manufacturers are required to provide important use and care information to the consumer. On heaters that are not listed, consumers have less assurance that the safety features and operating instructions are adequate.
Be sure the thermostat is set in the cooling mode. Just setting the dial below room temperature will not activate the air conditioning if it is set in the heat mode.