Use a relay. You'll be glad. HVAC stuff is a sewer and you do not want that filth in your electronics.
I'd even suggest using (a) relay(s) to cut out any interference by the control and then using the relays on the arduino.
Or just wire up a temperature probe, learn enough about how to interface to that system the right way and program up an arduino with an LCD, temp sensor and bank of relays and make up a barebones board, nice box and have full control of your HVAC.
Then stick a temp probe and servo shielded arduino and a servo controlled vent in every room that can close the vent when needed......
