Yep. Finer gauges can be extremely frustrating. Going along with what SLIPPY said, I find that I can
occasionally get 30 gauge to coil properly if I wrap one coil, then sort of lightly pull out on the shorter part of the jig while doing subsequent wraps. It doesn't always work, and I don't know why.

I've tried hand wrapping, too, and I'm pretty horrible at it.

I'm sure I could improve with practice, but I generally run my
coils at .3-1.5 ohms, depending upon
device, so using really small gauge wire isn't a necessity.