They can be very fussy. I don't remember if there is an adjustment for the pilot, but try adjusting that so the pilot is a little larger. There is also a thermocouple that has a probe that has to be pretty much in the flame of the pilot for it to stay lit. If it's not, you can bend the end slightly to get it more in the flame.
Of course, now that you've spent the time and money putting the new stuff into the old furnace, I'll suggest a new furnace with an auto ignition system might be a better decision.
Meddle not in the affairs of dragons, for you are crunchy, and taste good with ketchup.