Gas and Oil Home Heating Furnaces - Gas Furnace Pilot Light problems

I have a Coleman gas fired furnance that's about 20 years old. Has been very trouble free. Recently the pilot light went out. I relit it without a problem, but a week or two later, it went out again, and when I tried to relight it, it wouldn't stay lit. It will relight as long as I hold down the safety button. But no matter how long I keep the button down, as soon as I let it up, the pilot goes out. I assume that either thermocouple thingy must not be working or the valve itself has gone bad. I'm reasonably handy but I don't know where to start. Is this a job I should be trying to do by myself?

change the thermocouple first, couple of bucks, easy to do probably will fix it. if not let us know

Dear jjennjd--

Take hvac4u's advice and change the thermocouple. It's easy enough, just DON'T OVERTIGHTEN THE THERMOCOUPLE NUT at the valve or you'll still have a thermocouple problem. After that, try lighting the pilot. You can do it :D