The pilot goes out when the heater cycles

The flame sensor is either oxidized and needs cleaning or replacement.

If the pilot light is too small a flame, or the thermocouple sensor is too far away, it won't light. I suggest you find the small screw that adjusts the pilot light flame size, and increase it slightly. Quarter turn CCW.

If the flame is not reaching the thermocouple, then the flame orifice probably needs cleaning. Turn the heater off then use a small soft wire brush to clean it, then blow it out with compressed air. If you do not have an air compressor, use a can of air that is used on computers.

I usually clean the pilot light orifice and burner tube on my heater every year just before I start using it for the winter.

MAKE SURE THERE IS AMPLE FRESH AIR IN THE ROOM, SOME MODELS ARE MADE TO NOT LIGHT IF THERE IS NOT ENOUGH FRESH AIR. RON G.

then the pilot is blocked needs cleaning out or try blowing it out with air , or undone pilot and remove pilot injector and clean it .

You can make sure it is not the thermostat by crossing or jumping the R and W terminals (or associated wires) together. This will keep the furnace calling for heat. As it is approaching set temperature, get in front of the furnace and inspect the air filter to make sure it is clean, watch the control module for any error codes that may be turning off the system prematurely.

On a call for heat, the 24 volt thermostat sends a signal to the control module. The control module will indicate a call for heat with a light on the control either blinking or remain solid depending upon model. The inducer (exhaust) blower will purge all gasses from the furnace and pressurize a pressure switch. Once the pressure switch tells the module to continue, the electronic ignition will energize and send 120 volts to the igniter. The igniter will glow and you will be able to see it if viewed thru the small inspection port. Once the igniter gets hot enough, it sends a signal to the module opening up the gas valve (24 volts). Either a pilot will come on or the burner tube will ignite then spread the flame to all burners. Lastly a safety sensor will be looking for a certain temperature within a few seconds and the furnace will continue to operate and the room air blower will turn on in a minute or two.

What could go wrong? The unit will not run if there is no signal from the thermostat (bad thermostat or broken wire), the control module does not sense a signal from the thermostat (bad control), the inducer does not energize (bad motor), the pressure switch does not close (blocked vent piping, bad switch, plugged condensate hose), the igniter does not energize (bad control, bad igniter), the gas valve does not open or there is no gas (bad gas valve, broken wire, no gas), the pilot does not light (dirty pilot), the burner does not light (bad burner, plugged orifice, not enough combustion air), the flame does not spread to each burner (bad flame spreader, dirty flame spreader, more bad burners), the flame safety sensor does not detect flame (dirty or bad flame spreader, bad flame sensor, broken wire, bad control), or the room air blower does not energize (bad fan motor, bad control).

The room air blower should have no effect on the pilot unless there is a crack in the heat exchanger. Do you notice a change in the pattern of the main burner flame when the blower turns on? If so, you have major issues. If not, it could be a dirty pilot orifice or a weak thermocouple.

the thermo couple thing that pilot heats up is not staying in flame if knob is broke you may be able to heatup manualy to get gas valve to open some will wome wont

sounds like a bad thermostat.I am not to familiar with this problem.
sorry i could not be more help

I've replaced a Williams wall gas heater non-electric. The thermostat is connected right and mounted on the wall. But, there's a thick black copper wire on the side of the furnace tagged thermostat. I don't know what to do with it? Where do you connect this wire? When it touches the top screw of the three screws running vertically(where the other wires are connected). The burner lights up and stays on, even if you play with the wall thermostat. Touching the other two screws doesn't do anything. Now, the manual talks about connecting it to the venting wires? Extra wires coming from the top or maybe somewhere else in the wall? I've left it connected to the first screw, ran the heater. But, it never turns off? Any suggestions? Thanks