I just fixed my 16 year old Lennox furnace. When I awoke this AM the temperature was very cold. I immediately thought of a thermocouple problem so I headed off to Home Depot to get a replacement. I replaced it but the pilot light still refused to stay lit.The pilot light was rather small when I was trying to light the furnace (pilot light button held down). I took the pilot light gas tube and pilot light nozzle off and removed the tube from the nozzle. The end was bloced with white fuzz residue. The tube end was partially bloced by a bad cutting job on the tube end. The tube end had a large burr of aluminum blocing at least 2/3's of the tube. (original manufacture)This blockage encouraged the build up which resulted. All removed and pilot light ok. The indication of a blocked tube was when I tried to adjust the pilot light flame, it didn't have an effect. This was my clue to investigate this area.
Hope this may help.