My old electric baseboard thermostat had 4 wires. The new one I purchased had 2. The electric box had 4. I connected one supply wire to one thermostat wire. I connected one load wire to the other thermostat wire. I connected the remaining supply and load wires together. I didn't blow any circuit breakers and it seems to be working however the baseboard heater doesn't seem to be putting out the same amount of heat as it did with the old thermostat.

Should I have connected the new one differently?

The old thermostat may have had 2 sets of contacts with each set connecting one heater allowing power to flow to one side of each. If these were 120 volt heaters, you now have them connected in series instead of parallel. As long as the new thermostat is rated for the total power, you need to connect both lines to one contact, and both loads to the other. If they are 240 volt, I don't see why they aren't working correctly.

If I connect both supply wires (white and black) together with one wire from the thermostat, won't I short out the power line?

I am sorry, I gave a rather poor answer, leaving out enough to make it easy to misinterpret. I am glad you knew better that to do what it sounded like I said. Connect the 2 black feeds to the line terminal and the 2 black load wires to the load terminal, or to either one if not marked. Then group the 4 white wires all together with a substantial wire nut or other connector. When the thermostat contacts close, the power will flow out the black and back the white.

Thank you. Now with this explanation, I believe I've correctly wired my thermostat. There is actually only one black and one white feed wire along with one black and one white load wire. So as I said originally, I connected the one black feed to one thermostat wire and one load wire to the other. I connected the remaining load and feed wire together.