When we light our ducted heating which is the white rodgers we then turn it on to 30 degrees but when we turn it off the pilot light goes back out. So the next time we turn it on it does not work we have tried this 3 times.

Need more info
Brand of furnace,, model number
Is white rodgers the name of your thermostat or what? If so what is model number of the tstat?
30 degrees sounds awful low for tstat setting
We would love to help you if we can

It appears that you either have a bad thermocouple or if the 30 degrees is centigrade it is 86 degrees F and that is at the maximum most heaters will go to. You may be running the heater so hot that the limit switch is cutting the gas off (but a limit switch should not do this to the pilot light unless something else is wrong). DrTom4444