Why does the oil furnace cycle quickly

clarification as to how it is supposed to work.

There are so many variations within and between countries that it is hard to answer without knowing more about your system

Where I live, a very common system is Honeywell S-Plan and variations of this

L = hot/live
CH = Central Heating to radiators (pumped hot water).
HW = Hot Water to faucets/taps for sinks/basins/baths etc.

In S-Plan, electric power only reaches the furnace (AKA boiler) after passing through a series of devices:

• power from the supply is connected to a timer/programmer
• during set times, the timer/programmer allows power to the room thermostat
• when temperature is low, the room thermostat allows power to the zone valve
• when the zone valve is fully open, it allows power to the pump and furnace/boiler

Some furnaces/boilers have an independent power supply and control the pump so that they can overrun to circulate water to remove residual heat from the furnace/boiler.

None of the domestic systems I've had in my homes have ever needed to start the furnace/boiler unless the thermostat is calling for heat. I changed my room thermostat to a model with an indicator light that comes on when it is calling for heat.

The system described above is a high-voltage system, I believe many US systems use a completely different low-voltage control arrangement.

You should check the wiring in the furnace. There are no standards for thermostat wire colors, so you can't always trust the color of the wires. Seeing how the wires connect to the furnace, is a sure fire way to figure out what's what.

The O (cool mode) and B (heat mode) terminals are usually used for a reversing valve, in heat pump systems. I'm not familiar with oil systems, so I can't say for sure what they would be used for.

Some thermostats have separate O and B terminals, like this.

Others have an O/B terminal, and use a jumper to select which should be used.