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Check your thermostat. It may be a 160, and you will not get heat when it is below zero if you have a 160 t-stat. The stock t-stat is a 190-something one. Make sure you have that one in. Even with a 190, it will take a while to heat the truck if it is below zero. You can block the grill with cardboard, or get specially made grill inserts tom help you generate more heat.
They also sell electric car heaters that plug into the cigarette lighter, I'm not sure where you buy them but probably at any auto parts store. That could help you heat the truck until it warms up enough.
But the thermostat is the most likely culprit. It may not be the right one, or it may be stuck open.
Maybe they even make a special, hotter t-stat for extremely cold climates. I heard that they do make special ones that open slower or something, to help get the truck heated up quicker, but I have never bought one. My 190 works well in Colorado.
Even after blocking off 1/2 the radiator, the engine temp isn;t getting to normal.
So the gauge could be wrong, are you are right and the thermostat is too cold.
I will probably swap it out to be sure.
Oh yea...thats right DOH!!!! Not too far from me in Aurora. May have to get together sometime to go wheelin . Been wanting to try Red Cone pass with my bronco. Havent taken that one yet.