My furnace doesn't start up right away the set room temp drops like 3 or 4 degrees and then it turns on checked the thermostat, it is a new filtrete 3m-22 and as far as I can tell it is working the heat does work just doesn't want to start up right away. What are some was to check to see what the problem could be?

Your stat allows for a "swing" so it will not call for heat or cooling at the set temp and then shut down only 1 degree higher. You want it to swing a few degrees so follow the instructions in thei video YouTube - Filtrete 3M22 How set swing the thermostat