the thermostat and set it to ‘auto’ instead of ‘on’. when you keep your thermostat to ‘on’ mode, it constantly runs its fan to blow out air, even when your furnace is not actually heating.
another possible reason for getting cold air out of your heater could have to do with the pilot light. chances are that the pilot light is out. the pilot light is the small flame that lights when you turn on the heater. sometimes you just need to re-light the pilot light in order to fix the problem. also, the gas valve of your heater may be shut off if you are using a gas heater.
also, make 