I might not be your skill. It is most likely your iron. I used to have the same problem until I realized I needed a higher temperature than my previous iron had. I also use a spiral iron instead of a normal curling iron. It really made a difference. Good luck.How do you curl your hair with a curling iron?
http://www.youtube.com/watch?v=WoZ2QGq0n4A
i didnt try it yet but people who watched the video say it works.