remember, the furnace fan will come on first, blowing cold air. Then, after a few minutes, the burner should ignite and the air blowing out of the vents will gradually warm. If you turn off the furnace before the burner ignites, thinking it is not working, you will never have warmed air.
Try leaving the blower running for at least 5 minutes before deciding the furnace is not working.
If you have enough propane to ignite the water heater, you have enough for the furnace.
Also, check to be certain there is no cut off valve in the gas line somewhere turning off the gas to the furnace.