So I have been trying to replace my old RobertShaw thermastat with a digital Lux500. The old wiring went like this:

Green= G
Red= RH
White=O
Yellow= W +Y jumped together with the yellow wire

There is a blue wire too but that was not used.

Now the new one has
G
Y
W
Rh
Rc

RH and RC jumped together so I hooked the Red wire to the RH... Green to G... but now not sure where the White wire goes since the new Stat has no O. I tried hooking it to the W and hooked the Yellow to Y... but the AC turns out hot air. So my question is what to do with the white wire and do I still need to jump the yellow wire to W and Y? Do I use the blue wire now or not? My HVAC is electric forced air... no gas. Please help!

You have the wrong thermostat, you need one for heat pumps. This one is not.

The wiring in the thermostat has to correspond to the wiring at the furnace circuit board or what ever you are using to move the air.

The basic wiring is:

The Red wire is usually the 24 volt wire to the thermostat. Red to R terminal

The Green wire carries the 24 volts back to the fan relay. Green to G terminal

The White wire carries the 24 volts back to the gas valve White to the W terminal

The yellow wire carries the 24 volts back to the AC relay. Yellow to the Y terminal

At your furnace you need to use the two wires that are connected to the contactor in the condensing unit, one will connect to the yellow terminal on the circuit board with the yellow
From the thermostat, the second wire will connect to the COM or common terminal on the circuit board.
All of these wire are connected to the low voltage strip at the Circuit board.

This is correct advise from Letmetellu for a gas furnace but not in this case because this is a heat pump.