Follow manufactures replacement instructions that are provided with new products. Save your malfunctioning thermostat to be rebuilt and then placed in stock.
Loosen the set-screws and remove the cover. Covers will be held in place with set-screws or screws. Observe thermostat to see if it is framed with a slightly larger footprint than the thermostat itself. If so look for screws that connect the frame and the thermostat. Loosen screws from frame until thermostat is free. Other models may have screws thru the body of the thermostat itself. Loosen these until the thermostat is held by the air lines and then loosen airlines at the wall fitting or plug-in connector. (Note: in some cases removing the screws will reveal a mounting gasket and air head.) Remove thermostat. The main and branch lines will be exposed which means you will have either no heat (Reverse Acting) or all heat (Direct Acting) until a new device is installed. In an emergency or for temporary unit control connect a piece of 5/32” tubing with one end into the main and one end into the branch. Depending on the action of the thermostat you are replacing removal of the tubing will allow you to turn the heat on or off. Please call for assistance with this step. NOTE: In some cases you will want to replace a malfunctioning thermostat with a new thermostat and send in the malfunctioning one for rebuilding.