One of the key things about using a close-up lens like the Raynox 250 is that the distance between the Raynox and the subject is critical - this is the "working distance". If you are not at an appropriate working distance you cannnot get a sharp image.
With the Raynox 250 on my 55-250 lens on my Canon 70D, with the lens at 250mm for maximum magnification, I can only get good focus between a working distance of about 97 to 117mm. If I'm not within that 20mm range of distances then autofocus won't engage so even if I was using manual focus I doubt I could get a sharp image.
With the lens at 55mm for minimum magnification I can only get good focus between a working distance of about 97 to 122 mm. So there is slightly more latitude at lower magnification, but I've still got to get the distance right to within 25mm, an inch.
I usually use autofocus, and a side effect of this is that it ensures that I am at an appropriate working distance (if autofocus won't lock on, I move the camera until it will). Most people use manual focus and so don't have this automatic check on working distance. If you use the focus ring to focus you can fall into the trap of being outside of the appropriate working distance, getting the sharpest image you can but still ending up with a not very sharp image (because the working distance isn't good). A lot of people don't use the focus ring for manual focus but instead leave the focus ring alone and rock the camera back and forth until they have the sharpest image. Focusing this way ensures that you are at a good working distance.
Like Alf says, you may be using small apertures. DOF roughly doubles for every two stops decrease in aperture. Alf mentions going down to f/22 to f/32. A lot of people won't go that far because as you go to smaller apertures you lose sharpness because of
diffraction. A few people (I'm one of them) will use those apertures. For example, this image was captured using f/32 with a Raynox 150 or 250 on the 55-250 on my Canon 70D. I almost always us apertures like this. Even though diffraction softens my images a lot I can make them look sharp enough for my purposes with some sharpening in post processing, for use at the output sizes I use (generally 1300 pixels high these days although this one is a bit older and smaller, only 1100 pixels high).
0552 046 Myopa 2014_04_09 IMG_3579-Edit-2 PS1 PSS3 by
gardenersassistant, on Flickr
As well as the softening affects of diffraction, another problem with using such small apertures is getting enough light on to the scene. This example used ISO 200 and an exposure of 1/3 second. Obviously, I used a tripod and the air was completely still. That sort of shutter speed is often/usually impractical. So for natural light shots, if you use small apertures you may need to use much higher ISOs, which brings its own problems of loss of detail, and noise. It is also a problem when using flash, because you need a very high level of flash power (and/or high ISOs) to shoot at these very small apertures.
You will need to find some compromises.
For shooting in natural light this involves compromises between aperture (and hence DOF), ISO and shutter speed, and between working hand-held or using a tripod, or something in between where you keep your hands on the camera and provide some support such as a monopod to reduce camera movement without eliminating it altogether while giving you more flexibility than with a tripod.
For shooting with flash this involves compromises between aperture (and hence DOF), ISO and flash power. (If flash is the main source of light for the capture then shutter speed isn't an issue because the effective shutter speed is the length of the flash pulse, which is quite short even at high flash power.) The trouble with turning the flash right up is that you may have to wait a long time between shots as the flash powers itself up again.
You can get terrific results with close-up lenses like the Raynox 250, but don't be surprised if it takes you a while to sort out how to get it to work well. Don't get disheartened if you find it difficult to start with (the Raynox 250 is a bit difficult, compared to less powerful close-up lenses like the Raynox 150 and Canon 500D. As it happens the one I use most is the Raynox 150.) Try things out, share what you get here and there are plenty of helpful people here to help you along the way. And if in fact it turns out that you find it rather easy, then so much the better!
