Mine is finicky too. I forget the exact mechanism, but if I remember I'll look at it tonight.
First, the direction that you turn it is opposite of the direction marked on the switch itself. Second, you can only turn it in the right time (ie, I think to go from pilot to either ON or to OFF the gas must be fully lit for 30+ seconds). Third, the furnace itself and the manuals I have for it say it is an automatic light, but it isn't I need a lighter every year (I had it serviced once and the repairman was even confused by the complete lack of automatic light even though it says right on itself that it has one).
Pilot switches should be very easy - there isn't much to them. But damn someone really screwed up the design of mine.
Every year the thing confuses me. Every year I swear that I'll write the instructions down for myself next year, but I never get around to it. If I remember I'll try it tonight and post it here so that I have a permanent record. If not, I'll do it over the weekend.