The thermocouple acts as a safety device that will shut off the gas going to your heater if the electric igniter becomes faulty or the pilot light will goes out and will not stay lit. To locate the thermocouple on your gas heater you will need to find the pilot light burner assembly. When the pilot light will not stay lit, most likely the thermocouple has become faulty and will need to be replaced or it will need to adjusted. In order to make the adjustment to the thermocouple, you will need to tighten the thermocouple nut by using the correct size wrench. You do not want to put to much pressure on the nut, so just tighten it with very little pressure. Once you have tightened the nut try relighting the pilot. If the pilot light will not stay lit, then you will need to replace the thermocouple. Next we will go over how to replace the thermocouple. First make sure and turn off the gas line at the heater. Locate the copper lead and connection nut that is attached to the gas line. There will be a mounting bracket on the thermocouple tube.
You will want to unscrew the nut on the bracket that holds the tube in place and remove the thermocouple from the heater. Now you are ready to install the new thermocouple back into your heater. First put the new thermocouple through the hole on the bracket. Make sure the copper lead is down and the steel tube is pointing up, then attach the bracket nut over the tube. Now slide the connection nut to the threaded connection and connect it to the gas line. It is important not to over tighten the connection nut, a half a turn past what you can hand tighten it to would be fine. If you are not the handyman type and do not feel comfortable replacing the thermocouple, it is best to contact someone in your area that is qualified in heater repair.