Do what Tom said just make sure the cooling system is not pressurized. Meaning if you drove it... let it sit for an hr or so and turn the radiator cap slowly so no coolant comes flying at you causing severe burns.

You can always do that on a cold start. Take the radiator cap off and start the car.

Really just for added assurance this is just me. I'm paranoid due to things that happened in the past with previous DSM's. When I replace the rad. cap, thermostat, I usually go ahead and replace the rad. hoses as well. Thats just some assurance on my part.

Is the fan kicking on? Like Tom stated are you sure you got all the air bubbles out of the system? Maybe it could be a faulty thermostat... even though its new it can happen.