If your hair is naturally sleek and straight you'll probably need a curling iron that gets really hot. What kind/brand of curling iron do you have?
On the other hand, if your hair is wavy or frizzy naturally, try getting it nice and straight before you curl. Use a flat iron, blow it straight, or do both <--that's what I have to do, and while it's hell on my hair, I love the results and do it often
Setting the curl after using an iron is a really good idea. I'd recommend using the big silvery type pins versus bobby pins (those tend to leave a dent in your hair and take a lot longer to put in). There should be some youtube tutorials on pinning hair. Wait til the hair is completely cool to the touch before taking the pins out. Or you can set them in velcro rollers and pin them like in the VS pics.
Above all it definitely takes a lot of practice. Try doing it whenever you have downtime and I have no doubts that you'll improve! Omg it took me a while to get it down so don't worry! And watch youtube...lots and lots of youtube haha!
OH wait one more thing, be sure to use products to help achieve and keep your style. Like before you blow dry, apply a volumizing mousse to damp hair. After you curl, give it a light spritz of aerosol hairspray (my FAV fav is Tresemme Tres Two Ultra Fine Mist) then set it. You can give another light spritz all over as they set, or after you take them out.