Many burners with pilot lights have a three position switch: off, pilot, run (or whatever - the operational position). You typically have to put it in pilot, then push a button while lighting the pilot and hold it for up to about a minute. When you release the button, if the pilot stays on, you can then turn it to the run position. The main gas valve will not turn on if the pilot light has not heated up the sensor, which then allows the heater's main burner to turn on.
Keep in mind that propane is heavier than air...IOW, don't leave the valve on pilot without having the thing lit! The gas will continue to come out (slowly) and fall to the floor and accumulate at the lowest point in the house. IT can be VERY dangerous! NG is lighter than air, and is easier to detect leaks and flow since you don't have to crawl on the floor to detect it, and it tends to float out and disperse (if it can!) rather than pool.