One of the tricks is to comb the section of hair that you are rolling in the opposite direction that you are rolling it. So if I'm rolling a section of hair in my crown area, I first comb it towards my forehead. That lifts all the hair and makes sure the roots are smooth. Then I place the roller on the ends of the hair making sure that I maintain the tension on my hair, so that there isn't any slack or drooping in the middle. Once I've rolled it all the way to my scalp I take the clip or bobby pin and place it on the bottom of the roller, so that the clip is sitting flat on my scalp right where the roller meets the roots. It just takes practice and patience. I still have to adjust clips that I don't think are tight enough. I also notice that if I'm in a rush and put too much hair on the roller, I can't get it tight. It's better to use a lot of rollers than too few.
If you can find the post titled "I just did an Amazing Rollerset", there is an excellent diagram for rollersetting. People also share some other tricks they've learned.