Turn off the control for the wall heater. When the appliance cools, twist the knob in the gas hose connected to the heater clockwise until it's tight.
Use a screwdriver to take off the service panel and access the inside of the heater. The thermocouple is a copper tube with a wire on each end. The part is mounted between the heater pilot, which is either V-shaped or L-shaped depending on your model, and the gas valve.
Loosen but do not remove the screws securing each end of the thermocouple. Slide out the clip on the end of the wire on each end of the thermocouple and remove the part.
Insert the clip on each end of the new thermocouple under the screw head on each end and tighten the screws to secure the new part.
Attach the service panel to the wall heater with the screws and screwdriver.
Unscrew the knob on the gas valve.