Are you using the right thermocouple type? Free ones with meters are often K, and someone above suggested you probably need J. I don't know either way, but it's worth making sure you've matched types.
As for the creeping temp. on power cycles, I wonder if it has anything to do with the cold junction reference circuit. The thermocouple technically only measures a difference in temperature between its two end points. The circuit must measure temperature where it meets the thermocouple and then add that to the thermocouple reading. Perhaps that circuit just takes a little time to stabilize?