Garage heater problems!!

All new units stink for awhile when new. Best thing to do is run it for 1/2 hour or so with the door part way open to get the oil burned off the heat exchanger.

PLEASE consider SERIOUSLY getting a stat. They aren't expensive, and may save you a lot of grief. Besides, a typical home shop will be "over rated" with a unit like that, and you may spend all your working time running to and from the wall switch.

BE SURE and I mean BE sure to bubble test all pipe connections, and keep a wary "nose" out for the next few days for propane leaks.

I'd advise you to find a local HVAC guy to look it over for you. Your life--and your insurance policy--may depend on it.