Jason,
Since you did not say what heating system you have, I will assume that it is a Suburban propane heater. If so, how long did you let the burner run? The propane heater has a heat exchanger just like a residential heater so it takes a minute or so to produce heat. Second, are you sure that the main burner was running? If the main burner was running for a few minutes, and you were still getting cold air, I would check the ducting at the heater.
Gerald