How do I switch the thermostat between Heat, Cool, and Auto modes?

Press the Menu button, then press the Mode (+) button to cycle through the available system modes, which include Auto, Heat, Cool, Em Heat (TH3210U only), and Off. Once the desired mode is displayed, press Done to save the selection. (Page 5)

From the official Honeywell T3 Pro Programmable Thermostat manual, page 5

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