A gas furnace thermocouple is a solenoid valve that operates off heat instead of electricity. The thermocouple works in conjunction with the pilot light and the main gas valve. The valve is located in the pilot assembly.
What the Termocoupler Does
The thermocouple is made up of two wires that are welded together and covered in the housing. This housing is placed in the hottest part of the pilot light with the other end attached to the main gas valve. The thermocouple acts as a sensor. It senses when the pilot light is burning hot enough to light the gas from the main gas valve. If it senses the heat is hot enough, it will turn that heat into an electric signal and sends it over to the gas valve and tells it to open and let the gas out.
How to Control The Thermocouple
As long as the coupler stays hot it will keep the gas valve open, allowing the gas to burn as you have requested using your thermostat control. So you are actually controlling this thermostat. If the pilot light goes out or gets cool, the thermocouple will stop sending the signal and the main gas valve will close, stopping the flow of gas into the furnace and causing the furnace to shut off.