Our Heil Furnace pilot light won't stay lit. When pilot knob is turned on, we can ignite the flame, but as soon as we release knob the pilot light goes out. We also replaced the thermo coupling and it still did not stay lit/worked. Could it be the valve/knob? Would any one have any suggestions?

That valve has been known to cause some problems when trying to light the pilot. When you mash the button down to light the pilot push even harder, This safety valve is held down by an electro-magnet and it has to engage and pushing it down just enough to let the pilot gas go through is sometimes not enough. So Like I say push harder and maybe hold it for a whole minute.