My propane mr heater will not stay lit! After the pilot is lit, I turn the knob to set a number and it shuts off when I let go of control knob???

Turn off the gas supply and unplug the heater.
Remove the control knob and check for any debris or damage.
Clean the control knob and the area around it with a soft cloth.
Reattach the control knob and turn on the gas supply.
Turn on the heater and check if it works properly.
If these steps don't work, then it's best to contact a professional technician

First follow this trouble shooting guide to make sure you need one-http://www.mrheater.com/product/faqs/little-buddy-troubleshooting/ Then Amazon http://www.amazon.com/Mr-Heater-Pilot-Assembly-Portable/dp/B008DBRB8W Make sure it's the right one for your model heater.0810snp

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I actually have three of these and what I found was the gas valve was stuck in the open position you may need to replace it or possibly remove it and try to clean it of any residue but be very careful if you don't know exactly what your doing then you need to get a pro. Remember that your dealing with propane and it could ignite and cause serious damage to you and your home. Please be very careful and you might want to call the manufacturer and talk to them about it. Because it is a gas appliance they have a responsibility to you if anything should happen then they may be liable.

Your pilot flame should be blue with a small yellow tip, and it should cover the thermocouple (a small rod in front of the pilot light). If the flame is too small and doesn't cover the thermocouple, it may be adjusted too low, or you have low gas pressure or you have a leak in your gas line coming in to the heater. If the flame looks like a lazy yellow flame, you are probably not getting enough air to the flame. Check that your air openings around the pilot are not clogged up. If the flame looks like a waving blue flame then you probably have excessive draft at the pilot. If the pilot flame looks good and covers the thermocouple, then the thermocouple might be bad. Best of luck. I hope I have helped.

When the pilot lights continue holding the button down for a full minute and then release. It should stay lit then to allow you to turn it to the on position. If the pilot will not stay lit after holding it for the full minute, then the thermocouple will need to be replaced.
Hope this helps.

could be blockage in the pilot making it short clean pilot and burner or replave thermocouple if it looks worn out

Do you have the serial number or the manufacture date? There are some design changes and I would need to know the year of manufacture to assist accurately. Usually it is a relay or the thermocouple connection that will affect the unit staying lit.

How large and sealed of an area are you using it in? I ask because those units have a low oxygen sensor which will shut it down if there is not enough oxygen in the space.(kinda prevents that pesky suffocation thing). Otherwise if using it in larger cold spaces, the issue is can be from the smaller tanks. As mentioned above, a larger tank can solve this, because these units have a fairly good input rate, which will cause the smaller tanks to freeze, and lower the propane temperature and evaporation rate, basically runs out of gas until the tank warms back up.

I called Nexgrill technical support at 1-800-913-8999. They are sending me a new thermo couple to keep the valve open when ignited - so the patio heater will stay on. I needed to give them the serial number (inside the propane tank door) and fax them a copy of the receipt.

Hope this helps.