Gathering uses long stitches. Make two rows of parallel stitching and pull the upper thread to gather. Two rows of stitches provide back-up if a thread breaks and makes it is easier to get smooth gathers. Make gathering easier by increasing the thread tension to throw the stitch out of balance.
If you're doing a long piece,another option is to do a zig zag stitch over a heavy thread or cord, being careful not to pierce the cord. Stitch it down in the center of the row to anchor the cord, and then gather from each end.
Another option is to use a gathering foot for your machine.