Hey holly,
The Pilgrim Holiness church does still exist. Mostly they are found in the Southern states. In fact, there are quite a few here near my town as well. You might find one or two in the northern states, but it's probably rare. Their beliefs basically fall in line with that of most Holiness churches. They are ultra conservative. Most believe that women should not cut their hair, have to wear long dresses, no makeup, and watching tv is not acceptable. Their only source is basically studying the Bible. They do however allow their children to attend public schools.
They are somewhat related to the Wesleyan church with the same beliefs, but are much more conservative and extremely strict. They broke off in the 1900's because they felt that the true Wesleyan belief (like Methodist, etc.) were too liberal. Therefore they desired a more strict church and brached off on their own, but still kept the general Wesleyan doctrine.
Hope this helps you hon. God bless you!