Thermostat says ''Aux heat on'' and buzzes when we turn on heat

I have yet to see a thermostat for a heat pump (guessing it's what you have) that doesn't have emergency heat. It's usually listed as AUX.
If you bump the heat up 10degrees you will probably see a light come on which indicates 'AUX/emergency' heat.
Be sure to turn it back down.
Listing the thermostat model might help someone give a more definite answer.

This is normal when the heat pump doesn't satisfy the room temperature within a given time, it automatically will kick on auxillary for backup.

Leave the factory jumper between R & RC. Connect the wires to the new stat just as you have them labeled. Use a piece of thermostat wire to make a jumper from AUX to E terminals. Your new thermostat should give you instructions on how to access the installer set up. You are going to set it up as heat pump with aux. I see this is 2 days old but if you need any help let me know.

I Googled the user manual for your thermostat. It says to install a jumper between E and Aux if there is no emergency heat relay. Here is a link to the manual. Look on page 5, line 5.
http://www.forwardthinking.honeywell.com/related_links/thermostats/pro_4000/install/69_1763.pdf

Sounds like it could be a effiency function to warn you that the heat elements are on. Check your thermostat manual and see if you can turn this feature off. If this is not a feature then the thermostat may be wired wrong or something in the circuit may be trying to short out.

Take white off of Aux, and attach it to L

Sounds like you have a problem with your heat pump. Your aux heat is a electric coil. how old is the unit when was the last time it was serviced? How cold is it out side?

i have a vison pro th8320u and i cant get aux heat to operate also aux heat on will not come up on the touch screen.

Make sure G from indoor unit goes to G on thermostat for fan continous fan, if that doesn't work and you have 24 volts to R and C then the t'stat is bad.
For 2nd stage heat or aux.heat, on the indoor unit you need to make sure the wire W2 from the indoor unit goes to W2 on t'stat.
You don't need any wires from W1on the indoor unit to W1 at the t'stat because with a York heat pump Y1 is the contactor which turns the compressor on and you will get 1st stage heat, and for cooling the t'stat will also bring on O which is the (reversing valve) or cooling changeover relay for the cooling mode.
C = common usually black wire
R = hot usually red wire
Y or Y1 = contactor
W1 = 1st stage heat not needed for heat pump
W2 = Aux. heat indoor heat
G = fan
O = Cooling changeover relay
B = Heating changeover relay
L = System monitor
E = Emergency heat relay

You need to go into the installer setting to change it from heatpump to single stage gas heat.Go to www.honeywell.com if youve lost them.