First of all, you should pick up one of these:
Helping Hands
It's sooo much easier to solder when you don't have to hold 4 different things at the same time! Make sure the iron tip is tinned, and heat up the area to be soldered before applying solder to the joint. Otherwise you end up with a "cold" connection. Like reno said, don't use a file to clean the tips. I use a 150 grit sanding sponge- just a few swipes and the tip is perfectly clean AND it stays tinned.