Flux is your friend as well.

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I have the same solder station and it does wonders, more then enough power. Here are some tips I think you may want to check: make sure that the tip is cool, then twisk the chisel tip tight by hand. Next, you should check the size of your solder. Don't use plumber size solder wire from the home improvement store. That's just way too big. Your best bet is Radioshack, good price and decent quality. You can get a 16 oz. 60/40 composition for around $14 or if you want a higher quality then go with the one that has Silver content. They sell a 4 oz roll for about $13. The optimum solder wire size is similar to the roller ball of a pen. Anything smaller would take more time to feed the wire. If you are using the plumber solder it will not work properly and if that was the size of the wire then it will take you a while for it to melt it. Use electronic solder, not plumbing. Next would be the flux. Flux is your friend. Flux is cheap, about $7 for a tobacco chewer's size. They are in a paste, the better ones are by Trinity liquid flux or Kester's flux from amazon.com. Next thing is to check the area where you will be soldering. Make sure it is clean, use rubbing alcohol or if it's really crummy and crusty, you might need to use a 200 grit sand paper to clean it first. Solder wires should be very quick, just dip the freshly cut wire end into the flux and touch it with your soldering tip, around 675'-725'. Slowly add the solder for a tinning. When you strip the wire, make sure your fingers aren't dirty from wrenching or have oil contaminants. Leaving contaminants on the wire will make it harder for the solder to stick, however if you're using flux, that should be no problem. I usually keep a very small fan on so I don't smell the hazardous fumes. Good luck.

Lots of good advice here. You need solder on the tip of the iron before you try to solder a joint. The solder on the tip helps transfer the heat quickly.