Macro takes a bit of getting into. Like Graham said, keep at it; it is well worth it.
I have a Sigma 105 and I find the autofocus impractical for small subjects - it hunts and hunts. It may be most practical to adjust the focus by hand to get the magnification about right and then like Chris suggests rock gently back and forwards. You will see it going in and out of focus and the trick is to press the shutter button so the image is captured just as it is passing through the point of best focus. It takes a bit of practice but once you have got the hang of it that can work really well.
In order to get useful comments it is helpful to keep the Exif data in the image if you can (shutter speed, aperture, ISO etc) or otherwise mention what the shutter speed, aperture and ISO were, as well as any other information you think might be useful.