It's not the iron as much as it is the tip. I used a one of the grounded tip ones from radioshack, and they worked fine. The easiest way it to tin the soldering pads, then tin the wire. Put the wire onto the soldering pad you want to connect it to, and touch the iron to the connection for just a moment. (Only long enough for the solder to melt.)
Basically, tin both items you want to solder together, then touch the two tinned objects with the iron. If you're soldering to a bunch of soldering pads that are near each other, then tin all the motherboard pads before you start connecting wires. At least, that's what worked for me. Also, try to use solid IDE cable, if you can. They're very thin, good wires and are much more organized than 32 stray wires.