Grind the iron's tip down to a smaller point.
Use less solder. In fact as little as possible. Buy rolls of thin rosin core solder. Big stuff sucks.
Prep all connections with solder before you start (get a little on the end of the wires).
Keep the iron clean.
When you go to actually connect them make sure the iron is hot, put the 2 peices together, touch them with the iron only long enough to melt, then remove it as soon as you can.
Many people use a dirty iron, with a fat tip, crappy solder, and press the tip while the iron is not hot enough and hold it there. You only want a fast touch. A quick touch with a very hot iron does not spread heat like a warm iron held on the object. Everything will suck away the heat if you leave it there..
