Another issue is the size of your soldering iron.... If you are using an old 'woodburner' type iron at 20W, it can't heat up the joint fast enough. The heat migrates down the contact and into the wire. Hotter is better (not too hot though).

Here are a couple of other tips....

1. Everything must be absolutely clean, including the tip of the iron. Anything less is just wishful thinking. Keep a slightly damp (not wet) sponge or paper towel nearby to wipe the tip on. It should always be shiny. If the tin plate on the connectors is dull, hit it with a clean eraser (and also use a little bit of flux, as was recommended by Hemikiller. But go easy on it. If the wire is not shiny, scrape it down with the blade of a knife (but be careful).
2. Put a tiny blob of solder on the tip of your iron, then put your tip on the junction of the contact and wire ONLY to transfer the heat faster. Then, solder as usual.
3. If you have a mating connector, put it on. The reason is that if you are new to soldering, you may apply heat for too long (until you get the hang of things). Too much heat might soften the insulator and the contacts might drift. The mating connector will keep them in line.

I've laid a fair amount of lead in my day. Just my $.02

Bob