Id go get another stat/cord and try again . . .
Way cheaper.
Remember- brass to brass when making your connections, and the silver go to silver.
I followed the diagram, and it works perfectly.
All your trying to do is add the bulb inline with the power wire.
Wiring-
1-Cord from wall should have hot wire to #1 on stat(hot wire should always be copper)
2-Ground wire goes to silver screw on light fixture.(ground wire should be silver, but can be copper also, dependin on what kinda cord used))
3-Then, just run a short jumper wire from the #2 on stat to the brass screw on light.
Its very simple, tho the diagram can be confusing if your not electrically inclined . . .
Imo, if you got shocked, its more likely you have wires touching each other somewhere, as compared to wired wrong which should only kick the breaker and turn the circuit off.
But, it still COULD happen just being wired wrong.
If you have plugs in your home that zap and melt plastic/cords, thats not good(incubator wired wrong or not), the breakers shouldnt let that happen, they should kick off immediately.
Good luck, and dont give up.