I had a similar issue where my furnace (and/or air conditioner) would come on, but then would not shut off for a long period of time.
Not sure if you have a sensor like mine (as shown in the picture)? My fix was to take out the temperature probe that was all coiled up inside the plastic housing, and let it stick out into the air. Once I did this, the furnace (and A/C) started working great, after doing this they now both come on for a period then turn off much quicker.
Doing this gave it a much more accurate reading of air temperature, and the furnace would shut off much quicker because the probe could better sense the warmer temperature. I don't know why they would design something like this and expect it to work right. One of my probes was actually pressed up against the wall on the inside, which really threw off the sensor.
Hope this helps...
Mike