Does the board you're soldering to (e.g. I call it perf board, like
this stuff) have copper around the hole's perimeter? If so, you need to heat the copper too so that the solder is attracted to that metal, too. If it doesn't have metal around the hole perimeters, you'll just get blobs of solder on the pins.
I'd recommend a pointy tip for the soldering iron, too...
Hope that helps; just let me know if I misinterpreted what you're doing.