Heaters prior to 1978 had "standing pilots" meaning they were on continuously, just like our water heaters still use today, since then laws enacted made a standing pilot for California illegal and the country followed Ca law.
There could be a draft causing the pilot light to go out.
Spillage
If holding the controls in the LIGHT position for about 15-30 seconds does not keep your pilot lit, there is probably a problem with the thermocouple. That is the small tube that the pilot flame touches. Be sure it is not bent, and being missed by the pilot flame. They do go bad, and require replacement.
Check your instructions, Usually you have to keep it on pilot mode for 30 seconds then you should be able to turn it to on without the pilot flame going out.
My direct vent furnace pilot light issue was the glass viewing port was missingallowing room air to blow out the pilot light. Replacing the missing glass which stopped the draft, fixed the problem.
How do I light pilot light on furnace
It is supposed to quit burning.
A small amount to keep the pilot light going.
If this is happening you need to get your furnace serviced by a qualified engineer.
No, that is part of the function of the pilot light. To light the burner and to keep the gas valve open. The thermocouple sits in the flame of the pilot and produces a small electrical current that keep the gas valve open. When the tank cools down, the thermostat opens the valve to the burner so that it can light. When the pilot goes out, it is usually the thermocouple that is bad.
I believe it is called the "pilot light"
The detailed directions are printed on front of EVERY gas regulator. - However, in general terms, turn regulator switch to OFF for 2 minutes, then to PILOT and depress for one minute, then light pilot or press clicker till it lights. Keep PILOT pressed for 2 more minutes then slowly release it. If it stays on then turn main switch to RUN or ON. -If you have to light the pilot manually, use a barbecue match (12 inches long)