I bought a harbor breeze 3 speed 5-8 wire fan switch (33906) to replace my 5 wire switch that broke. My fan is a harbor breeze 4 speed fan.

I having trouble figuring out the wiring. On the old switch it was wired as follows:
L - Black
1 - Grey
2 - Brown
3 - Purple
4 - Orange

The new switch only has numbers L,1,2,3. However each number has 2 slots (upper (U) slot and lower (L) slot. Not sure where to put the orange wire 4. Please help

Sounds like you have the wrong switch. Contact Litex/harbor Breeze for the correct replacement. Their number is in our sticky.

Ceiling fan pullchain replacement and repair - Ceiling Fans N More

Thanks for your help.

Let us know how it works out!