I installed the Honeywell RTH2300/RTH221 in June. My A/C worked fine. I am now switching to heat and nothing happens when I change to heat. I followed instructions in my manual. Could there be a wire that I connected wrong?

You wired it wrong. Is this a heat pump installation? Are you sure it worked BEFORE you changed the t-stat? Did you turn off the power before you did the t-stat change?
There could be literally a dozen reasons it doesn't work... call a professional before you get too cold.