Mary Corbet over on Needle n' Thread has done a fantastic 9 part series on working this stitch if you use the search function on her blog you will find them
Here is a her blog URL http://www.needlenthread.com/
Also thread can make a difference with this stitch a thread that stays fluffed out - like wool will work much better than a tightly twisted thread - the fluffed out thread seems to fill the gaps more. A tight thread will just sit in lines instead of shading.
Mauvedragon - there's also a few videos on there, if they'll be of any help.
If you have to use fine thread because it's the look you want or your project calls for it (for example, one strand of DMC), your stitches should be longer than you think they should be, and when you go back up into them, "go deep"! Make sure you're splitting the thread coming up in the stitches, rather than going down, as this also helps to spread the thread and fill in gaps.
I echo Dionne's comment on finer needles and really good light, and Carol-Anne on using a frame or hoop! You might even hold your work up to the light now and then, so that you can see if you're gapping too much in your stitch placement. I do that all the time to gauge the spacing on finer stitching, because the gaps aren't always visible when you're looking at the work from the front after stitching for a while under bright light...
Mary Corbet over on Needle n' Thread has done a fantastic 9 part series on working this stitch if you use the search function on her blog you will find them Here is a her blog URL http://www.needlenthread.com/