You should check a thremostat in boiling water before fitting to make sure it opens - it could be a duff.
Before you take it out again, are you sure you've properly checked for air pockets in the system? Run the car up to temp with the expansion cap off, squeezing hoses etc. etc.
Repeat this process several times, allowing the car to cool with the cap off. Also, some people have had to hold the tank up in the air to allow gravity to force the air bubble round.