Shut off the power supply to your Lennox furnace. You can do this via the main control panel on the furnace, or by flipping the furnace circuit breaker to the "Off" position.
Remove any screws on the front access panel of the furnace. Remove the access panel. Notice the pilot light assembly in the furnace. Mounted to it will be the thermal sensor, a long metal rod.
Unplug the wiring at the base of the thermal sensor.
Remove the mounting screw holding the sensor in place and remove the sensor.
Fit a new sensor in the furnace and replace the screw. Plug in the wiring.
Replace the front panel of the furnace as well as the panel screws.