Only two wires coming from the wall... both are yellow... however the old,rectangular, honeywell thermostat itself had a red and white wire inside of it. Not sure where to connect the two yellow wires to the new Honeywell thermostat Model RTH230B. We have an oil furnace... no AC. We hooked one yellow wire to the Rh and one to the W. The furnace comes on , but when we switch the thermostat to the off position the furnace continues to run. Any help would be greatly appreciated.

Thanks

According to this you wired it correctly.

http://customer.honeywell.com/techlit/pdf/69-0000s/69-1800.pdf

You might go to the furnace and post where the wires land there.
Also did you do the configuration menu?