Are you trying solid ornaments or inside-out ornaments? My process for inside out is basically the same as what is on the woodturningonline website, with a few things I do differently when I make a finial and glue it on. I primarily use a 3/8" spindle gouge for all my ornaments, and I make sure it's freshly sharpened before getting into small details like the point of a finial. This takes some practice to get used to, and on the very fine detail work I use my finger on the back side for support.
Sounds like the problem you are having with your skew is you were either not riding the bevel or you were trying to turn uphill, at which point you will get a catch that will end up threading a portion of your spindle. John Lucas has some excellent videos up on this forum for using a skew that I've learned a lot from and use my skew much more now.
Hope this helps!
I want to die quietly in my sleep like my grandfather, not screaming in terror like the passengers of his car.