There are a few thing to check before you replace the thermocouple.
1.Do the thirty second test.
a.light the pilot till it stays on.
b.turn the top control to off and start counting 1001 1002 1003 1004 till you get to thiry, if the safety in the valve clicks off (which you should here)after the 30 seconds then the thermocouple is good. If it clicks off before then replace the thermocuple.
This test which I do in the service field has been proven with a millivolt meter. It normally takes 35 to40 sec. to loose the millivolts needed to operate the safety device.
2.Be sure that the pilot flame is burning on the first half inch of the thermocouple. This is where you create the most millivolts. If the flame is small then you need to clean the orfice.
3. Check for wind drafts, missing roof cap, missing door cover. Anything that could cause a strong enough draft to blow out the pilot.