Gas and Oil Home Heating Furnaces - New Thermostat

I just put in a new, electronic, programmable thermostat. I noticed that it has several terminals on it, but I only have two low-voltage wires coming out of the wall where the old thermostat was.

This was covered in the installation instructions, so I just hooked it up the way they said, and everything works fine. But as I was in the basement taking a look at my furnace, I noticed that there are corresponding, unused terminals on the furnace as well.

Would it be a good idea to connect these terminals to the thermostat? Does it work like that, or would I be risking doing some damage to the furnace or thermostat by fiddling with it? If I was to connect these, what type of wiring would I need to use? The existing wires are solid-core, and they look to be 16 or 18 ga (but I'm not sure).

I have a forced-air oil-heated furnace.

Since the furnace is working leave it alone. Usually, the other terminals are for ac, outdoor sensor, and other accessories. My thought is "if it aint broke don't fix it"

I take it you don't have A/C?

You could run a new run of wires to use that, and be ready for A/C.

You can then use the fan switch to turn on the fan if you need air movement. (G)