I have attempted to light my pilot and it does stay lit until I move the knob from pilot to on, then the pilot goes out. Any suggestions? Thanks

 

Could one of 2 reasons
1) The pilot flame is not heating the thermocouple enough to enable the t/c to hold the gas valve in.
2) the thermocouple is faulty and needs replacing.
The thermocouple generates a very amount of power to enable the solenoid inside the gas valve to hold the valve open to allow the gas to carry on flowing to the pilot flame.
Q 1) Is the pilot flame impringing on the thermocouple enough?and is it big enough
most polit assemblies have small 'spud' as a jet over time these can get blocked
DON"T try and clean get a new one. Note the size is usually on the end for Nat Gas will be the range 1.1 to 2.1. replace with the same size.

 

you can take the thermocouple with you . Are see how long it is and get one like it. Get the one with a kit that will fit all is best.
A can of air from the pc store bend that red thing up and blow all around the pilot venturi .Blow it out good put the new T/C in and give it a try. ED