first start break in

Use coolant, water by it self does not transfer heat as well as coolant/water mix, reason being is that coolant has "wetting" agents and a higher boiling point so that it will not boil at the contact boundary. Bubbles do not transfer heat.

Drill a vent hole in the stat.
Test the T-stat on the stove in a pot of water if you want to be sure it works right.