I would start a conversation with them by congratulating them on the new rig and finding out how long they have been RVing. If new I would suggest buying an electric heater to save on propane since electric is included in the site rental. This would let you lead into suggesting they need to have their furnace checked as it is much louder than most furnaces and that it seems to cycle more often than normal.
If the above goes well then I would offer to answer any questions they might have. If they know it all then I would congratulate them on the rig again and walk away.
PS: The neighbors furnace woke me up last night but fortunately it only came on a couple times.