Floor furnace: we replaced the gas regulator and thermocouple of a floor furnace because the pilot light would not stay lit. After testing on-off numerous times at the thermostat, the furnace seemed to function correctly; we would hear a click, then the burners would go on. We thought it was fixed but it lasted about a day.
After re-lighting the pilot and re-testing again at the thermostat, again it worked about a day.
Now when we try to relight the pilot, it no longer stays lit.

We also noticed that the pilot light would go off on its own when the room temperature reached the set temperature of the thermostat. What would make the pilot light go off?

This is a floor furnace, with no fan (works on gravity), 24 volt gas regulator; is there or should there be a limit switch or transformer between the regulator and thermostat? The store where I bought the regulator & thermocouple asked me many questions which I could not answer.

I am new to understanding how this works, please explain in detail.

While you were changing the thermocouple did you clean the pilot orifice? If not do so and report back.