Hi mate,
I didn't mean electrical wires if that's what you checked, there's a cable, like a bike brake cable, that is attached to the heater control nob, when you turn it, it moves a flap that diverts the air either through the heater matrix (warm air) or around it (cold air). These are very common at failing. When you turn the heat control nob, is there any resistance on it, or does it move around easily?
If your thermostat (the "sensor" your refering to) was stuck shut, you would notice the car running hot and then eventually over heating. If its stuck open, it would take a long time to warm up but eventually you would have warm air coming through the vents. I'm taking it you have no warm air at all no matter how long you wait?
Even with a HG thats gone or warped/cracked head, you should get SOME heat through the air vents. And you would also be losing coolant, which you say you aren't.
Alan