I have a 500w heater, running 240 from the wall is a black and red wire. On the baseboard heater is a black and red wire. On the thermostat are 2 black and 2 red wires. How do I hook this up.

Different thermostats use different wiring colors. Some use the two reds as line, some use one red and one black as line.

You just need to follow the instructions that came with the thermostat/
L1 & L2 are the power in.
T1 & T2 are the load to the heater.