Built-in thermostats are directly attached to the heater itself as opposed to thermostats you may see on the wall, and they operate in the same way. You set the desired temperature on the thermostat, and once the room hits that temperature it stops heating, waiting for it to fall below that temperature again.
A single pole can only operate off one circuit, which ultimately means they can never be turned off, only turned down low. Double pole thermostats can operate off two circuits, giving the ability to be turned off completely if you choose to do so, even if the temperature falls below the desired point on the thermostat. This can make a double-pole thermostat the more energy efficient option. Fahrenheat makes both varieties, and you can find them on HomElectrical.com
If you want to be able to switch to a wall thermostat later on, all you have to do is turn the built in thermostat all the way up. This allows the wall thermostat to take full control from there. This is the simplest option and eliminates the need to rewire, after the wall thermostat is installed. The second option requires a licensed electrician. An electrician can remove the built-in thermostat completely so only the wall thermostat controls the heater.