What am I doing wrong? Do I need to program the PID? How do I set the target temp?
yes you do need to program it. you need to set the PID values in order for the controller to be able to function. otherwise its just an expensive, hard to use, switch.
i dont have that particular PID, but these settings should help a little (these are just an example, the thermodynamic properties of my system are most likely different from yours and you should tweak them as necessary)...
p= 1 to 5 (%), depends on the temp sensor type / range of the sensor
i= 20 to 40 (seconds)
d=0 (disabled; with a large stable thermal mass, overshoot compensation is unnecessary)
ot=2 (seconds; use '2' for SSR, longer for mechanical contactor/relay to prevent short cycling)
filt= try 1, if you want faster response, change to zero