Pilot light can light and stay lit if I hold it

You have a possibility of two problems;
First:You need to check the pilot, when you areholding the pilot knob in, is the pilot flame covering the top of the thermocouple-the metal rod that is near the pilot, it will have a copper tube or maybe 2 wires, running back to the main gas valve. If the flame is covering the top 1/8" of the rod, it is ok. (For Now)
If the above checks out ok, now we move to the "Tip Sensor", this sensor is usually bebind the screen near the pilot knob. It has two wires running to it, the sensor is about the size of a dallor coin, inside this sensor is a metal ball, that makes contact with the two contacts inside the sensor, while the heater is standing upright, if the heater tips over, the ball moves and breaks the contacts in the sensor, shutting off the heater. This is a safety switch in case the heater tips over, sometimes the contacts in the sensor get dirty, try tapping the switch, basicly getting the ball to move around,then try it.
The final step - "Trouble Shooting purpose only", take the two wires coming to the sensor, cut them about 2" away from the sensor, and twist them together, then try it, if it works, the sensor is bad, take the sensor out, and shake it for awhile, then put it back in, rewire it to original wiring, if it still doesn't work, you will have to replace the sensor, contact the manufacture.
Please rate me, if this has been helpful, it keeps us keep on trying to help, LOL.
Contact me back if you have anymore questions.
Sincerely,
Paul Gibson

Fist thing if its brand new, you would probably have to bleed the lines which means letting the air out. Takin the gas line off the unit an turning the gas on for a few seconds the start back the installation.if that isnt the problem the you would have to locate the thermocouple .that is usually right beside the pilot assembly,a short rod shape object needs to be replaced or tke a piece of sand paper an clean it off ,that should do ther trick