My gas furnace's thermocouple only lasts for one ignite -- then the pilot goes out. What am I doing wrong?

I have replaced my thermocouple many times. Each time, have to keep re-lighting the pilot multiple times, then finally have to buy a new thermocouple again! This has happened three times -- three thermocouples in like a week -- obviously something is wrong. At one time a couple of years ago I was able to do it fine. Now I have pieces left over -- LOL. Can someone please help this absent-minded DIYer? Thank you so much.