This is my first time putting in electric baseboard heaters and I am confused.question... when wiring two marley 2500 to one wall thermo. Do I make all the connections on one side of the first heater and how do I do it... the thermo is all ready wired.

Do you mean 2500 watt heaters? If so, and this is on a 20A circuit, that is too much for the circuit.
30A circuits do exist for electric heat, but they are pretty rare.

They are wired just like any other circuit. The switch is in series and the load is in parallel. As stanforty mentioned... are you aware of the circuit limitiations?