I had this problem, along with little to no flavor, on my first couple wick attempts.
Then a guy named Thrasher came along and recommended an un-oxidized wick setup. Since then, it's been heaven.
1. Wash mesh before hand, hot water and a little dish soap, then rinsed thoroughly and let it dry.
2. Cut your strip of mesh so the grain is going vertically, I use 500 but 400 should do just fine.
3. Run your strip through a flame (I use a bic lighter) enough to make it more rigid. You're not oxidizing, just another cleaning method really.
4. Start rolling with a paperclip, once you have it started remove the paperclip and roll tight enough to keep it together. I've had better success with a tiny pin-hole sized channel in the middle. Some use solid but I like it solid-ish.
5. Wrap your coil using the Petar K method. Use a 5/32 (maybe 7/32, mine doesn't say on it) drill bit, it fits nicely in the wick hole, and space the wraps out evenly.
6. Insert the drill bit and secure your coil to the AGA. Give it a few brief fires on a lower voltage to ensure they are glowing nicely.
7. Back to the wick...make sure it slides into the coil pretty freely, you want it to just "set" in there. If it is difficult at all to put in or take out adjust accordingly so it feels like it may slide out.
8. Use the lighter to blacken the area where the coils are, this helps with shorts. You are NOT oxidizing it, just blackening the area.
9. Once assembly is all together, fire your coil again. Adjust your hotspots GENTLY, if you use too much force you will most likely get a short. In that case, kill power to the AGA, slide your coil around a bit and give the coil a couple pokes and turn the power back on...the short should be solved. If not, slide it around again and adjust coils (it gets annoying when you can't get it, but don't give up).
10. When you get your hot spots resolved, fill your tank up around 5/8 full (don't over fill tank with a new wick, it prevents wicking from fully working from my experiences).
11. Tilt your mod around 90* and watch the wick, you're watching for juice about to drip out of the top of the wick assembly. Then burn some juice. I start at a lower voltage then work it up as I go...this helps with seasoning it, lessens break-in time I believe.
12. VAPE!
I'm not the most experienced in the RBA field, but I know what is working for me, and that's how I do it. Big thanks to Thrasher for the help, couldn't have done it without him.
The main thing on these is go slowly, be careful, and don't get angry at it. I love the un-oxidized method, won't go back to torching wicks again! Good luck bud!