You have checked that the pilot flame is burning with a clean blue fame and has no orange tipping on it I presume??
Given that you have I suspect that the pilot jet maybe partially blocked and is not allowing the flame to impinge on the tip of the thermocouple lead properly.
Adjusting and setting pilot lights is NOT a task for the householder – hire an expert for a few bucks and save yourself a lot of grief and hassles in the future. REMEMBER gas in the wrong hands often makes for a dangerous situation for everyone/
Selgas Services Ltd
Craftsman Gasfitters, Plumbers, Electrical Service Technicians