I always drill at least three small holes in a triangular pattern on the flange of the thermostat, no matter which way it is installed one should be in the upper position.......... this will help purging air form the system as well as letting a little coolant flow all the time, before the thermostat opens (not a bad thing)........
I always take a new thermostat in the house and put in a pot of water and put on the stove, light the stove up and see that it DOES OPEN and actually works.... water boils at 212 degrees, so your thermostat should open before the water starts boiling....I'll leave it in the water till the water boils and then turn off the stove and let it cool down by itself till the thermostat closes, then take it out and go install in the car.....
BTW: this usually pi$$es off my wife, just an added bonus to the procedure...
I also always leave the radiator cap off when starting a new motor, I fill the radiator with water, start the motor and as the water level drops, I add water to keep the level about 2 to 3 inches from the top of the filler neck, by leaving the cap off, you can also see when the thermostat opens and how much water is flowing.....Once I think all the air is out of the system, then I put the radiator cap on and go from there.........
Like Roscoe said, before shutting down your motor, bring the rpms back to a normal idle........
Hope this helps....
David