Make has a great piece on how to solder, a skill in which I’m sorely lacking. My buddy Paul actually built me a Nixie clock from scratch, soldering each freaking component on by hand. Impressive, to say the least.
The trick is to use the right solder – don’t use acid core, incidentally – and to practice.
Practice soldering
Sometimes it is a good idea to practice on junk. You can try soldering a wire onto a coin, US pennies work pretty good for that, they are mostly zinc with a bit of copper. Lots of other countries have other alloys, often with lots of aluminum in them, so I don’t know about that. Aluminum wicks the heat too fast, so it probably wouldn’t work.You can also break apart an old radio or other device, cut some wires, get some parts and just solder some stuff together. After a bit you get the hang of it.
They even have a complete primer for your edification.