It doesn’t have 3 settings. It has infinite settings from cool to hot. Turn it to low, when you get cold slowly turn it clockwise until it clicks. That’s when the heater turns on. Wait either for the room to warm up or it to click off. If you are still cold, turn it just a little more clockwise until it clicks again. Repeat until you are comfortable. Then out a mark with a sharpie where it’s at.

That is a line voltage (240v) thermostat with probably 20-30a breaker. If you have never done wiring before, this isn’t a project to learn on, since 240v can hurt pretty bad compared to a 120v light switch or outlet. Your main thermostat was probably a 24v low voltage, low current system and is pretty safe for you to work on. Mistakes are more likely to damage the furnace than you. But if you know all the steps to replace light switches safely…this is just a 240v switch that opens and closes itself based on temp.