Gary,
I'll second what was said here; I had the same problem when I started (not that long ago!). My problem was that described by Alice (Elody21) above, and Alice has the right solution. The only caveats I would add are, you might want to use denatured alcohol (DNA), rather than regular alcohol, especially inside the blanks. I'll also strongly second her comment about using DNA, especially in oily woods; the oils tend to make for a poor joint when gluing, and the DNA helps get rid of the oil, at least temporarily. Oh, and try not to handle the body of the tube (or handle it as little as possible) since your body's oils may also cause the same problems.
If you're using CA to glue your blanks, make sure you're getting a nice, fairly tight fit between the tube and the blank, since most CA doesn't fill gaps all that well (requires surface-to-surface contact). Even thick CA, which is somewhat "gap filling" will not fill large gaps. By contrast, if there's a bit of a gap, the better choice might be Gorilla Glue or another polyurethane glue. The poly glues swell as they cure, which makes them more gap filling. The trick with the poly's is that they require water to cure properly. Some have suggested breathing inside the blank to add moisture. I used a cotton swab dipped in water inside the blank to just LIGHTLY moisten the joint. But be careful; too much water will cause the wood to swell, and may actually make the joint too tight. (do a search on Gorilla Glue for a lot of other tips)
Remember, though, that even with poly glue, you want to be careful not to drill TOO large of a hole. Most of the pens are turned to within 1/32-1/64 of an inch of the tube, which means you don't have a lot of room to play with.
You asked about tightening the knurled nut; see http://www.penturners.org/forum/topic.asp?TOPIC_ID=3740 for a discussion of why not to overtighten the nut.
Finally, Fleabit and Tom's comments about taking small bites at first is also very good advice; I have had some pieces that were glued properly, but that just REALLY wanted to spin on the mandrel. Had to barely touch the wood to them until they were closer to round, then they turned just fine.
Welcome to IAP and good luck! As everyone told me when I started, BE SURE TO POST PICTURES OF YOUR PENS!