I'm using a Honeywell Chronotemp IV Plus thermostat on my Trol-A-Temp system oil furnace.

When the thermostat calls for heat, the furnace come on, all is well, and shortly thereafter the thermostat turns off its call for heat. The house maintains temperature fine.

It's just that there is such a narrow range (less than a degree I guess) between on and off, the furnace ends up cycling frequently for short periods. That doesn't seem like it's a good thing for the furnace.

I've looked for ways to change that temperature inteval but I haven't been successful. Any ideas? Maybe it's not a problem for a furnace to cycle frequently?

A furnace will cycle more often the colder it gets outside since the building is experiencing more heat loss. The Honeywell thermostat you have is a very accurate device and will maintain within 1 and 1/2 degrees from the set point. I do not see any problem especially with it being so cold outside.

Post the exact model number and I will see if I can locate a manual.