Well just replacing parts ain’t gunna cut the mustard you need to have the pilot serviced as well – but your problem should lie with the thermocouple lead either that or the magnetic valve assembly in the gas valve – this part should only be removed/replaced by a qualified gasfitter as you will create a bad and dangerous gas leak if it is not done correctly.
Get a qualified person to check it out for you in the long run safety is of paramount importance – but if you insist on attempting it your self please put my name on your list of benificiaries before you start playing with things.
Selgas Services Ltd
Craftsman Gasfitters, Plumbers, Electrical Service Technicians