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Another source of good info: http://www.chitown-angler.com/1fish/viewtopic.php?t=36910 I've done 3 buddy thermocouple adjustments and all are rock steady in the wind now. Trick is to keep that thermocouple hot enough that the gas valve stays open if the pilot goes out briefly.
Not something I have personally tried yet, but considering on adding a pilot flame guard like this to my heaters.