Empire Wall Heater(propane) won't stay lit

You may have a bad thermocouple. This is a device that when it gets hot (usually from the pilot light) enough it sends a signal (allows conductivity) which allows the heater to stay lit when switched into the 'heat' or functional mode.
It's a common safety element in all gas furnaces and stoves to ensure that the pilot says lit and no gas can escape in case it somehow extinguishes.

I think the pilot flame sensor is tired

It sounds like you have a direct vent heater so you have to take off a pilot access cover to light the pilot. So what happens is the draft coming out of the cover is blowing out the match before you get it in the hole. The trick is to get the match or lighter in the hole quickly as possible so the pressure inside the heater will equalize and the match will stay lit. Then you should be able to lite it. Get it inside the hole fast and it will work. Don't forget to put the cover back over the pilot access or the draft may cause the pilot to go back out.

Unfortunately if its wall vented the wind can hit it just right and pop off the pilot this happens on older models a lot check your vent if its too much of an aggravation you may have to relocate it

if it is direct vent chances are it has electronic pilot.. it does not have a standing pilo and match size upt. if in fact it did have a buning pilot there is a part called thermocoupling. it will look like a 1/8 in. copper wire coming out of the bottom of the gas valve and goes right to the pilot. anywhere from 10 in. to 20in.. unscreew nut at gas valve pull out from pilot area [ it just clips in at pilot] take it to any home center

What you have is a Direct Vent, Gas WALL Heater. It is normally mounted about 6" off the floor on an exterior wall (since it has to be direct vented out). Not sure what the red and white wires are for, but suspect it's for the optional thermostatically controlled blower connection.

In any event, to help you install this heater properly, I have included a link to the Owner/Installation Manual, which should provide all the information you need to complete the installation correctly.

http://shopfnc.com/pdffiles/williams2man.pdf

You can download and print the manual for future reference.

It sounds like the gas valve is dropping out. Make sure the system is venting the exhaust(no restrictions). Then make sure all your wiring connections in the unit are tight. In a millivolt system if all wiring connections aren't tight and clean your circuit will drop in millivolts and the gas valve will drop out. The gas valve requires a certain millivolt to stay open. I hope I was of some assistance!! Good luck!!

what is the model # for the furnace. You are going to have to change the pilot orofice and gas valve for natural gas also.

I have tried to light my empire wall furnace by pressing the button and I have the gas on and it won't light