I am having problems with the installation of a Honeywell RTH7400 onto my existing system. I am connecting it to a Lennox HP26 (heat pump) with a Lennox Elite CB29M (blower coils).

The exterior unit wiring is as follows: orange to O, yellow to Y, white to W1, red to R, blue to C and no green.

I connected the thermostat wiring as follows: orange to O, yellow to Y, white to AUX, red to R, blue to C and green to G.

I am getting hot air when the cooling is on. Can someone give me a hand?

Here is your manual.

http://customer.honeywell.com/techlit/pdf/PackedLit/69-1900EF.pdf

NOTE: the manual says to make/identify where the old wires went onto the old thermostat. This way you can crossover using the enclosed manual to the new thermostat.
Also do a complete system setup as described in the manual.

I followed the manual, but I am still having problems.

Have you tried Honeywells toll free number. It is on the paperwork you have. They always have a answer.