I used to find it hard, and here's how I learned to do it in the beginning:
1. Get a nice kohl pencil - it should be soft and easy to write on skin with or it will make your job harder. A neutral grey is better to start with than harsh black or bright colours, as if it's slightly wrong it won't look clownish.
2. Sit comfortably, rest your elbow on the table and have a well-lit mirror in front of you. Always make sure the eye area is clean and oil free - brush a little face powder across it to prime it.
3. The easiest way to get a subtle line is to do lots of dashes and then smudge them together with a small, firm sponge applicator. go as slowly as you like, don't rush, and imagine you're actually trying to draw in amongst the lashes rather than above them, as this will help you to avoid a white gap.
4. To make it smokier, you can dip a fairly pointy sponge applicator in a similar shade of eyeshadow and gently smudge it into the line you've just drawn. you can carefully dab a little under the outer third of the eye if you want to, but don't go all the way into the inner corners, and when you're finished get a clean sponge and blend upwards to make sure the colour isn't too thick. Don't take it all the way into the inner corners unless you have very wide-set eyes, or it will make them look smaller.
5. To make the smoky look more dramatic still, you can get a soft eyeshadow brush and sweep the same shade along the socket line - sort of making a horizontal v at the edge of each eye where the shadow meets the liner. Again, leave the inner third of your eye clear. Then blend everything with a slightly lighter shade washed over the top, lash-line to socket line, with feathery strokes. Experiment with colours to see what suits you.
6. Always add some mascara afterwards, or it will look a bit odd on its own. Mascara adds definition and draws attention away from any smudgies.
7. Practice lots in front of the mirror, and don't worry too much, as smoky eyes are sexiest when they're a little smudged and messy. Try just loading it on, top and bottom and inner lids, to see how it looks, and decide for yourself how it would look best on you. Practice makes perfect, and trial and error is the only way to work out what works best for you individually.
Have fun with it!