Hello all - I appreciate any help you can give. I'm new at this stuff, so you might have to explain it without the technical talk, if it can be done!

I have a Weil McLain gas furnace. I had an old Honeywell dial with mercury thermostat, which I switched out for a Honeywell digital. It has controls for both heat and cold, but I hooked it up according to directions just for heat. Last spring, the old one didn't seem to be "clicking" on, so that is why I switched it out last week. We lit the pilot light for the furnace and it came on last night. Woke up this morning and no heat. I did the following:
Checked that the pilot light was still on. Turned off and then on the breaker to the furnace. Rechecked the thermostat that seems to be working. I read somewhere on Google about "jumping out the R and W". I have no idea how to do that, but I'm all for it. I'm assuming that means the wires that I labeled for the thermostat hookup? One is R and the other W. My question is, how do you "jump" them out?

Thanks for any help you can give!