Installed new thermocouple yesterday - Pilot light stays lit for one complete heating cycle - of more - then I check again while unit is again blowing cold air and its out again!
Pilot light stays lit while unit is heating and even is still lit after set temperature is reached and unit turns off! Then next time I look - it's out again! - BCD

You might have a partially restricted orifice in the pilot burner. This can cause the problems you are having. Carefully remove the pilot assembly. Then carefully remove the aluminum tube from the assembly to gain access to the VERY small pilot orifice. Use a object smaller than the hole (very small single strand of stranded wire) to clean it and any other debris found there. Note: believe it or not very small spiders build a web in there which causes a problem in the area I live in.

Before you try to loosed the nut holding the aluminum tube spray with WD-40 and go easy. If not you might be buying new tube and nut assembly.

If this fails to fix it have a professional do an on site inspection to check the heat exchanger for cracks.

You might have a partially restricted orifice in the pilot burner. This can cause the problems you are having. Carefully remove the pilot assembly. Then carefully remove the aluminum tube from the assembly to gain access to the VERY small pilot orifice. Use a object smaller than the hole (very small single strand of stranded wire) to clean it and any other debris found there. Note: believe it or not very small spiders build a web in there which causes a problem in the area I live in.

Before you try to loosed the nut holding the aluminum tube spray with WD-40 and go easy. If not you might be buying new tube and nut assembly.

If this fails to fix it have a professional do an on site inspection to check the heat exchanger for cracks.

Thanks - that's all I can think of now too - already had the tube off to replace the TC, should have done it then! I'll let you know if I can solve it! - BCD

I recently had this exact problem. Everything was brand new. Valve, thermocouple, line to pilot assy. I replaced the thermocouple hoping that was the problem but still no resolve. Ended up replacing the gas valve and so far so good. Goes to show even brand new can be defective.

I can't find the pilot on my furnace where can I locate I

i can't find the pilot on my furnace where can i locate i
Might not have one! May be electric ignitor! My other one is! Good luck! - BCD