My wall heater doesn't hold a pilot. We light it, come back a few hours later and it's out again. I have changed the thermocoupling and thermostat.

If this is a newer wall heater then it may be going off on the vent limit switch, located in the mixing box at the top of the heater (has two wires attached to it) If this is the case you need to check for proper venting. Good luck ,Mike