Well King's documentation ain't the clearest, is it? Anyway I found additional 24A01G-3 schematics online, and as I interpret this & the schematic on the King heater, you'll have to
1. follow the first two instructions listed under "Wiring Instructions for Remote Mechanical Thermostat", and remove the red and the black wires from terminals RT1 and RT2 to disconnect the internal thermostat.
2. Ignore the note that says not to connect anything to R3; that would be true if you were using a 240V-rated thermostat, but we're not, so...
3. 24A01G-3's yellow wire to RT1 (where it eventually connects to one leg of the incoming AC)
4. Blue wire to RT2 (and thence to the internal 'run' relay)
5. Black wire to RT3 (where it's supplied from the other leg of incoming AC.)
6. 24A01G-3's red and yellow wires will connect to an SPST output of your low voltage-rated wall thermostat; they'll carry 24VAC supplied by its internal transformer.
I'm an industrial electrical controls guy, so it's probably wise to wait for a second opinion from an HVAC pro or someone who's done this before. Hope this helps
Chris O.