Taking off the old gas shut off valve, as well as removing the connector tubing, precedes putting the new shut off valve in place. All of the parts must be compatible with each other and the furnace, so checking the owner's manual for compatible parts is a necessity.
Turn the gas and electricity off to the furnace. The circuit switch to the furnace is in the breaker box, and the gas line to the furnace should have a valve near the furnace, but if you cannot find it, turn the gas off to the house at the main valve. Let the furnace cool down enough for you to touch it without burning yourself.
Use a wrench to take the bolt off the access panel. Find the pilot light and the switch, which generally are on one of the burners. Look for the gas valve and the copper line that goes from it to the shut off valve. Take the gas shut off valve and the thermocouple off by removing the brackets that fasten the valve in place. Once they are gone, take the valve and thermocouple off.
Put the new gas shut off valve into the bracket. Screw it back into place, and connect the thermocouple back to the pilot assembly. Put the tubing back between the gas valve and thermocouple, and between the gas valve and the pilot light. Ensure tight connections. Put the access hatch back on, and turn the gas back on to the furnace. Light the pilot light, and turn the electricity back on to the furnace.