How do I connect a high intensity infrared heater and thermostat?
Try connecting the thermostat red wire to the blue terminal and the thermostat white wire to the red terminal

From the labeling on the cover of your ignition module, connecting 24VAC power between 2 and GR will turn the pilot burner on, while connecting 24VAC power between 3 and GR will turn the main burner on.  So, if you connect the red (R) wire to your thermostat to the blue (2) terminal on the ignition module (aka the blue wire from the transformer), and the white (W) wire to your thermostat to the red (3) terminal on the ignition module, you should get the unit to fire up when the thermostat closes.  

If your thermostat needs a blue (C) wire, it can be connected to the white (GR) terminal on the ignition module (aka the yellow wire from the transformer).