We are trying to change from a gas simple comfort 2001 thermostat to a Honeywell but there is not a place for the "W" wire in the Honeywell like there is in the Simple Comfort - where does the W go?

What is the model number of the honeywell,, its hard to read minds long distance

If there is no w on the honeywell then most likely the honeywell you purchased is not compatible with your heating system. You made a great choice going with honeywell, but need to find the right one for the job. I would take the original thermostat in to a hardware store(or better yet , a plumbing and heating company) and tell them that you would like a honewell replacement.