My pilot lite will go out once in a while.I don't it is not do to wind either.the furnace will work for a will and then I find the pilot out. It will relite and we go through the cycle again.

Try cleaning it. Lightly sanding is fine.

I have the same problem as OP. NationalGrid (service contract holder) recently installed new unit. Pilot failed twicwe with first week. What other problem could be causing this to happen, before I recall them, so I might point them where their noses don't lead.. :) Thanks