Check a couple of things. First is the connection from the thermocouple to the gas valve good? It must be tight and dirt free in order to pass the small voltage that is produced by the thermocouple (20 – 30 mvdc). Next is the pilot flame heating the last 1/4 to 3/8 of the thermocouple. If you are getting over 25 millivolts DC output from your thermocouple and the pilot still wont stay lit, I would call a licensed plumber and have him check out the gas valve…..Lou