Glow worm Space saver pilot light will not stay ignited?

I have a space saver glow worm which recently had a new thermostat fitted. Been working better than ever then last night the pilot lit went out. It will light again but once you take your finger of the ignition button it goes out (Even if you hold it in a while it starts light until you take your finger off) Any idea's what to check before calling someone out and costing a fortune