Is your furnace ever reaching the temperature that the thermostat is set to, or is it falling behind?
Do you realize that cranking up the thermostat isn't supposed to make the air that blows out of the vents any warmer? That is a common misconception.
Most thermostats are just switches that turn the furnace on and off. It runs for a while, it shuts off for a while, nothing more nothing less. If you're trying to get the house up to 70F, turning the stat up to 90 won't get it there any faster.
Is this a new furnace that replaced an old furnace of a different type? Newer high efficiency furnaces use a higher fan speed and have slightly cooler air that blows out of them compared to older less efficient ones. The total heat output can be the same, even if the air blowing out feels colder.
Is it the air that's blowing on you that feels cooler, or is it that the new one actually isn't maintaining temp.
edit....I thought I should point out that multi stage and/or modulating furnaces can blow warmer air out of them if you crank up the t-stat, so I guess some of what I wrote above might not be technically true if you have this type of system. Anyways, I'm still curious if the 40,000 btu furnace is able to reach and maintain proper temperature. If so then maybe you just need different types of air vents that don't blow the air onto you. Good luck!
