I have not been able to get this to work and I am wondering if he seting causing the issue is the Router Mode: in my airport express. It is currently set at Off (Bridge Mode), I do not want to mess up my internet so am asking this question in order to prevent that.
Bridge Mode is the correct setting for the AirPort Express if all of your other devices are connecting normally.
In addition to the comments that you have already received from La Pastenague.........IF......you have a 2nd Generation AirPort Express (it has two Ethernet ports).........by default the Express will provide a wireless network signal that uses the same name for both the 2.4 GHz and 5 GHz networks. This is called simultaneous dual band operation.
Some devices.......your thermostat may be one of them.......have trouble connecting to a simultaneous dual band network. The solution in this case is to assign a separate name to the 5 GHz network on the AirPort Express and then "aim" or point your thermostat at the regular 2.4 GHz network.
This is confusing to a number of users, so if you have tried the suggestions that LaPastenague has already suggested and the thermostat is still not connecting to your network, post back for more instructions.
In that case, we need more information from you as follows:
1) The make and model number of your current modem or modem/router
2) What device you are using to reconfigure the AirPort Express......is this a Mac, a PC, or an iPhone / iPad?