What does this device on my new furnace do?
That is a thermally fused switch.  There is a fuse in there that will cut off the power if the temperature in the room rises above a certain temperture.  The wheel is to replace the fuse when it blows.  

There's one on this page, Beckett 12501, not sure if it's the same as yours:  

http://www.beckettcorp.com/product2/productdetail.asp?detailid=66