Welcome to Just Answer, I will do my best to help with your problem
You have to connect the 2 wires together. They are for a thermal cut off switch that's in newer models
Once you connect the 2 wires the pilot should stay lit
It still does not stay lit.
Do you have a good connection between those 2 wires? This a very low voltage connection, millivolts, so a bad connection will kill the current