When the engine is cold, the thermowax (which is surrounded by coolant) contracts. This opens the valve which is attatched to a bypass in the throttle which gets more air into the motor with the throttle plate closed, thus raising the idle speed. Once the motor warms up the thermowax expands again and closes the bypass.

The thermowax should be unwound when it's in coolant that's at normal operating temp. If it's unwinding before the motor warms up that's your problem.