Keep at it! You won't regret it in the end.

What kind of pedals and cleats do you have? I have SPDs and they have different kinds of cleats. The ones that comes with the pedals are SH-51 and are uni-directional release (ie, you HAVE to turn your heel out to release), but I bought SH-56 cleats which are multi-directional (can release by turning your heel in OR out). The SH-56 cleats are gold, not black or silver. You can get them at Performance or online.