The best tip to offer is to tear your paper strips instead of using scissors. It is much easier to begin the roll from the torn side. If you're still having problems, try placing your thumb on a damp sponge. This will also help to begin the rolling.

A long pin (like you would use for a corsage) works just as well as the quilling tool. In fact, I like to use these to keep my little projects in place as I glue stuff around them. You can use a piece of cardboard box with waxed paper over it for your "work station". And if you can't find the paper (since quilling is not very popular), try cutting some 2-sided SB paper into 1/8" long strips (then tear them into 2", 3", 4", etc. pieces.)