My heat only works when I turn it up and then later it runs and runs, it hardly ever turns off. It doesn't stay at the same temperature as it is on the thermostat. It is like it will not catch up unless I turn it up about 8 degrees and then the emr and aux light comes on. Is this normal or do I need to do something.

Sounds like your heat pump outside may have a malfunction. You need to have it checked. I will say this in real cold weather a heap pump might not keep up with the house by itself but I would still have it checked. While you are at it check your air filter and change if dirty.