I figured it out. Thermostat goes in first, then o-ring seal. The end of the thermostat housing is tapered to make the seal with the o-ring. I lost a lot of coolant and refilled about 3/4 a gallon of Motorcraft 50/50 orange pre-mix. I ran it with the heater on high, coolant cap off, and let the fans kick on a few times. Also kicked the rpms up a bit to help push air out of the system, and when I did that the heat got nice and hot coming out of the vents inside. I drove it to work this morning and topped it off with a little more coolant. I checked for leaks too, none visible, so looks good.