I was actually thinking of the signal going to the furnace. You can get access at the thermostat, or at the furnace, likely easier at the thermostat though.
You could wire a switch on the power to the thermostat I suppose, but you'd need to make sure it retains your settings when it gets powered back on. The output of the thermostat is generally a very low voltage signal, just open or short depending on if there is demand for heat. Putting a switch on that signal would ensure there is never demand for heat, even if the thermostat is on and it tries, but it's still powered keeping your settings (not sure if this is actually a problem or not).
Either way could work.