A thermocouple is a device that turns off the gas if the pilot light goes out. If the thermocouple is broken, then replacing it will increase the gas furnace efficiency. In the event that you replace a functioning thermocouple, then it is unlikely to increase the efficiency of the gas furnace.
A new component usually increases efficiency of the overall machine, but there is no definite proof that this is the case with the thermocouple and gas furnace efficiency. The Fuel Gas Code advises homeowners and renters to turn off the gas line before replacing the thermocouple.