Generally the thermostatic valve is fitted to the flow into the radiator. However, there are valves that can work on either the flow or the return side of the radiator. To check which your valves are on your rads look to see if they have a directional arrow on the side, some do. If not, when starting from cold keep feeling the pipes. The flow pipe will get hot before the return pipe. If you find a valve is on the return and should be on the flow then it needs changing.
It's also possible your system needs a good clean out. To do this drain it down, pour some cleanser in and run for a few days. Drain down again and refill, adding an inhibitor. Cleanser and inhibitor can be got from any DIY store. Companies will offer to give your system a power flush but this will cost and arm and a leg.