What is neutral wire? Rob.
Anything that uses two wires means one wire must live.
A wire going to a switch will be 'live'
A wire leaving the switch is a 'switched live'
A wire going to a 'load' (lamp/motor/element etc) will usually be a switched 'live'
A wire leaving a 'load' is a neutral.
Usually lives are 'red'. Switched lives can be 'red' or 'black with a red flag'
Neutrals are 'black'.
On boilers you will find 'lives' are 'brown' and 'neutrals' 'blue'.
On mid position valves you get blue/grey/white/orange and another
I think you should use a red or brown for your 'live' to the stat ( which is a switch) and a black(with red flag) for the return.
Of course you can use any colour you want, but you need to identify which wire is which at each end, as you know greens and green/yellow are for earth wires so avoid them