Clicking under steering wheel when I go from hot to cold
 

It might help if you told us what model and year you are talking about, but generically, when you change the temperature setting, there's a "blend door" that moves to change the mix of heated air and cold air to adjust the temperature of the air being blown into the interior. There is a motor that moves the blend door. The problem could be with the blend door motor or the blend door itself. Unfortunately, these parts are usually buried deep inside the HVAC unit under the dash and require a great deal of labor to get to.