Thermostat Wiring (Not nest or hive).

Hi,
I want to replace my room thermostats (old dial types) with a new digital ones.  If it's relevant, I have underfloor heating, and each room have it's own Thermostat; I also have a separate Zone controller in the hotpress for Hot Water, Underfloor heating, and upstairs heating. 
I bought one to test, but as I suspected, the wiring is different.
The current stat (Danfoss) has 3 wires, Live (brown), Neutral (blue) and On (brown).  It also has space for an Off wire, which isn't used.
The new stat, requires 4 wires Live, Neutral, and another 2 across a "Load".
My instinct was to connect the Live and Neutral as expected; the On wire to one side of the Load, and then run a short jumper from the Neutral to the other side of the "Load".
This makes sense in my head, but I thought I'd check with someone else before I set the house on fire?
Any help would be greatly appreciated, I did some google searches, but I tend to get US info for Aircons, and I could track what I needed down.
Thank you.