As Lucia already stated, practising helps a lot.
Then, there are different ways to hold your yarn, try and find the way that works best for you.
Take a look at
for images and instructions.
One way to hold the yarn, is loop the yarn around your little finger, then over your ringfinger, middle finger and index finger.
A loose way to hold your yarn is without the loop around your little finger, just the thread betweeen little finger and ringfinger, and over your ringfinger, middle finger and index finger.
If that's too loose, you could loop the thread around your index finger.