Pilot light will not stay lit

Several things would cause this problem. If you replaced the thermocouple was the bulb positioned where the pilot light flame hits it? If not positioned correctly it could shut your system. Also, some years had a service call with the same symptoms as yours. When gas lines were run a "drip loop" was usually installed. This was simply a tee with a drop pipe positioned down just after the gas meter. Its fuction was to catch any water or condensate that might be in the line before it got to the burner. In time condensate had bulit up to the point that it came into the house with the gas and killed the pilot light. Locate the drip loop, shut off the gas at the meter and drain it.
Good luck, Tom

How old is the heater, what brand?