Above all, don't give up. It can be frustrating, sure, but anyone will tell you that there is a huge learning curve, especially when you have no frame of reference. Trust me, I'm in the exact same boat as you so I know how you feel. Have you read Lynn's article on the first shave? First straight razor shave - Straight Razor Place Wiki
Have patience. I can't get a close shave either, but still make progress and learn every time that I shave. Do what Lynn recommends, shaving from the side burn line to the jaw bone, and then finish your shave with a regular razor.
Again, don't give up! There are countless people here to help and support you in your endeavor!