First, I think ajlafleche may be on to something. Try it and see.
Also, you don't specify your soldering method, so I'm assuming that:
1. You're making sure the pieces to be soldered are completely clean of any oils, greases, or other contaminants that may prevent the adherence of solder. I typically use (when I DO solder) a moderate grit sandpaper--say 320 or so--and wipe the piece down when finished.
2. You're using a good flux. I've found this to be essential in getting the solder to flow evenly throughout the joint.
3. You're heating the metal and NOT the solder.
4. You've got the right solder for the job. What I mean is that you're not using 1/2" diameter plumber's solder on 1/16" pieces. I've managed to buy some very small diameter electrical solder at Radio Shack. (Turns out the stuff is also great for making elevation springs in artillery pieces, and other scratch-built add-ons, but I digress....)
Of course, if you're really into soldering, and want to do it quick and painlessly, (and have a few bucks) go to www.micromark.com and get their resistance soldering setup.
I've heard that ebay has the same setups for a couple hundred less than Micromark.
Hope this helps.
Gip Winecoff