I Have tried to follow the Wiring Diagram to hook up the thermostat... But just can't seem to get it to work. Could someone please tell me where the thermostat wires actually go?

They go to "R" and "W" which stand for red and white. White (R) is always heat on any thermostat and "R" supplies power to be switched to "W", "Y" for AC or compressor, and "G" for the fan relay. You may have the wrong type of thermostat if it is a millivolt operated furnace which has no transformer to give you 24 volt control voltage, but instead uses a thermopile to give you 750 mV to operate the gas valve. Those thermostats are different from the regular type and Coleman makes a few models of furnaces like that. I find it hard to understand how you could not wire the thermostat correctly. DrTom4444