Another good tip, is to fill the system up slowly. It may take a while to do this, but it does help to expel the air in the system as you fill it. If you put the coolant in too quickly this can cause airlocks (the same way it can happen when you fill your petrol tank up too quickly).
Plus I always give the hoses a few good squeezes too, as I`m filling it. Like northerner said, this usually works
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Regards,
Ian.