Sounds exactly like what I had with mine, which turned out to be a knackered HG (gasses leaking into coolant channels). Mine just kept throwing coolant out of the expansion tank overflow, your issues with the thermostat are odd though. When your engine is warm, did you ever see bubbles in your expansion tank? As morgey said above, try a completely new thermo housing first though, or at least one you know is alright. The thermostat is a very snug fit inside the housing so it may well be keeping the two metal faces apart slightly. Even when my engine was overheating, it still pulled fine and ran fine. Just because it feels alright performance-wise, it doesn't mean that there aren't any problems with the gasket.