5Day/2Day Programmable Thermostat
Is your unit truly gas, or a heat pump with a gas backup. Usually, 6 wires is an indication of one of three possibilities; a heat pump, multistage, or you have extra set of wires for the clock. Based on the fact that you have no matching wire colors, I would say you do not have a compatible thermostat: If you have a pure gas furnace, then it is a multistage, and although you have the heat working, only one stage is probably operational. Of course, this is all speculation, but I strongly believe the thermostat you purchased will not function properly in the long run. You fried the transformer already, with a/c you might toast the circuit board, a much more costly item.
I just installed the same thermostat type, albeit a Honeywell make. The instruction booklet confirmed what I just wrote, that the 5-wire unit cannot operate a 6-wire heat-a/c system. In your instruction booklet there should be a 1-800 number to check compatibility. If not, return yours, and call Honeywell at 1-800-468-1502, and they can give you the right model number. I had a variation on my system, which warranted a call, and they were very helpful. Sears also sells Honeywell thermostats, and besides, Honeywell probably made your Sears version in the first place.