Turn your thermostat down as far as it will go. Shut off all electricity to the furnace. Anytime you want to access the gas valve, you'll need to shut off the furnace as a precaution.
Remove the upper access panel to the furnace. In some models, it needs to be unscrewed. Others will just slide out.
Look for the pilot light. If you have an older model furnace, you should be used to finding and lighting the pilot. The gas valve is the box like item that actually controls gas to the pilot light by opening and closing.
Find the gas valve connected to the pilot light. In most models, the Honeywell gas valve is a box with a tube coming out of the upper portion. It's generally located in the mid to upper area of the access panel below the burners and next to the flue.
Switch the knob on the side of the valve to off. Wait five minutes and see if you smell a gas leak. Otherwise your valve should be working properly. Purchase a new valve from the Honeywell website or contact a licensed HVAC specialist if necessary.