The gas forced air FAN comes on the second the Thermostat calls for heating, so cold air blows until the furnace heats up. Not sure if it did this with the mercury switch t'stat (new house to me). Should there be a delay for the fan to allow the furnace to heat up? How do I do that on this thermostat?

There is a jumper on the back of the t-stat. move it from HE and put it on HG.
That will let the furnace control the fan in heat and will give the delay on start up.