There are ways to rectify the problem of the pilot not staying lit and it will not be a difficult job. In the Las Vegas Valley area there are a number of places where you will be able to buy the parts for water heaters. Most local stores and handymen carry the more popular right hand thread. So the best bet will be to contact the manufacturers and replace it yourself as if it is put of warranty there could be a much bigger bill if you have to have an engineer come out to do it.
The thermocouple will only cost in the region of $10 and as it is a safety device it will be necessary to replace it as soon as possible. If this part does not work there will not be a flow of gas and the pilot light will not work. There are a few parts that need to be removed to replace it so the gas must be turned off before the works starts. Worst case scenario is that the burner also has to be removed and this will unfortunately make it a harder job.
The easier to fit ones just fit into the bracket and can be pushed back into place but others are fitted back with a threaded fitting. This is where the problem appears to have happened for you as it seems you have a threaded one and as such will need a special part. The new thermocouple will have several universal fittings and explanations as to how to fit it your particular one.
The thermocouple will only cost in the region of $10 and as it is a safety device it will be necessary to replace it as soon as possible. If this part does not work there will not be a flow of gas and the pilot light will not work. There are a few parts that need to be removed to replace it so the gas must be turned off before the works starts. Worst case scenario is that the burner also has to be removed and this will unfortunately make it a harder job.
The easier to fit ones just fit into the bracket and can be pushed back into place but others are fitted back with a threaded fitting. This is where the problem appears to have happened for you as it seems you have a threaded one and as such will need a special part. The new thermocouple will have several universal fittings and explanations as to how to fit it your particular one.