Check that the tip of the torch is clean and free from dirt, rust and other obstructions. These clogs can block the flow of gas and air through the tip and keep the torch from staying lit. Ream out the tip with a safety pin to clear it if necessary.
Check that the torch has adequate fuel to maintain a flame. If the torch is not starved for fuel, adjust the flow from low to high in small increments while lighting the torch. Find the right flow rate and the right mixture of gas and air for the torch to light and remain steady.
Occasionally, the piezoelectric starter that provides the spark to light the propane can fail. This is usually a mechanical problem and requires that you replace the starter, if your torch uses one.