I think the engine would be dead by now if it was the head gaskets. - is there a lot of condensation flowing out the exhaust? (I.E White Smoke) if not - prolly not gaskets but check to see if they were replaced anyhow.
Sometimes the tranny could be a factor to heat not coming out of vent.
-if shop installed Thermo then I wouldn't worry that being the issue. Although there are slip ups. however check the rubber pipes leading from the Radiator to the Thermo, it should have pressure. oh wait... wow it's been awhile. I think it should be squeezeable? god damn I forget now I feel like running to my car and checking quick but it's 4am lol - someone help me here.
Who replaced the radiator?
Heating core? don't know a lot on it.