I purchased a Noma programmable thermostat in the summer and it seemed to work fine with my air conditioning but since turning it to heat it seems to cycle every few minutes or so I have tried setting the temperature at different settings and it still continues to cycle. So far since Oct 29th I have used 363 cubic meters and the meter will be read on Nov 28th. The coldes temperature we have had in that time is -8. I don't think this is normal usage or normal performance for my furnace. Should I take the thing back and get another one?

Follow the thermostats install instructions and set the cycle rate to the style of furnace you have. You probably missed that point when you did the install.