If you are having a problem keeping your pilot light lit, there are a few things to check. Once you've gone through the troubleshooting though, if it's still happening, you probably have air blowing in from somewhere. This can be a nuisance, but can also be dangerous. Several things can cause this to happen, and fixing the problem may be time consuming, but it's not difficult. Here's what you should know.
Step 1 - Rule Out the Heat Exchanger
A cracked heat exchanger is dangerous and essentially makes your furnace unusable. In some cases it can create a back draft that will prevent the pilot light from staying lit. Unfortunately, this is something that can't be repaired and you will need to have the furnace replaced.
Step 2 - Check the Pressure in the Home
A strong negative pressure in your home can cause this to happen as well. You can test this with just a piece of tissue paper or other thin paper and a window. Open a window just slightly and hold the tissue in front of the open window. If the tissue moves towards you instead of away from you then you have negative pressure. You can typically resolve this by looking at the ventilation system in the home. A blocked or damaged vent in the attic could cause this. You may need to add another vent if there are no damaged or blocked vents. If you have a draft hood on the furnace you want to check this for damage, as this could cause a draft to come through to the furnace.
Step 3 - Check Doors and Windows
This problem is less common, but could be the reason for this as well. You want to check doors and windows for airtightness. Even a door on the other side of the house from the furnace could create enough of a vacuum that the pilot won't stay lit. It's also never a bad idea to insulate doors and windows before winter to create a more energy efficient home.
Step 4 - Check For Other Holes and Openings
In the colder months rodents and critters will seek warmth. Sometimes a very small opening can turn in to a large problem if squirrels or other creatures chew the openings to get in the walls. What may not seem like a problem can create issues, such as pilot lights not staying lit. You may need to crawl around in your attic to find these. Any openings can be filled with an expanding insulation foam. This will serve two purposes. One- it will help prevent the problem with the pilot light, and two- it will keep nasty critters out of your home.
Step 5 - Call for an Inspection
If you've tried all of this and it doesn't help, it's time to call an inspector. There are many more reasons this could be happening, and most of them are not DIY projects. If your furnace is under warranty, the service call should be covered.