What you are doing is correct, you may just need to perservere.
What I did was the following:
I stuck a piece of paper on the wall (10M away from collimator) and aimed the laser at this. Then I marked the points on the paper as I turned it in the V bracket. This created a series of marks which made a circle on the paper. Now adjusting the small screws on the collimator I aimed to get it to the middle of this circle.
I would then repeat the process until it didn't move at all.
One thing to keep in mind is that you should always only just turn the collimator on. By this I mean only turn the "On" screw/switch until the laser comes on and then stop. Some collimators go out of alignment if their switches are screwed on/down too much.
Hope this helps.
Dave.