I have been wanting to get rid of my Coleman-Mach aka that cheap piece of crap on my TT wall. I was nervous about doing the upgrade. I also worried about losing the functionality of the hi/lo fan switch. I did some searching for a video, I'm a visual learner, I just have to see it. Diagrams do me no good. There are many threads that talk about upgrading thermostats, but the hi/lo switch has been just brushed over and it seemed very mysterious to me until I saw this video showing how to upgrade and where all the wires go etc...it helped me, I hope it does the same for you all...
This guy is upgrading to a Supco, but all the wiring connections seem very similar across the different brands.