I second everything joe'smom has to say. I'm totally convinced that the 'Thimblelady' method is the way to go. I'm on my 3rd thimble from there (first plastic; next 2 stainless steel). I don't, however, like her needles - too thin and bendy for me. I prefer Roxanne needles as well. I use anywhere from size 10 to 12, usually 11. The larger the number, the smaller the needle. Start with a larger needle and then work your way to smaller ones if you like. I highly recommend getting the Roxanne threaders as well since the eyes on those needles are really, really tiny!
Getting your stitches even and consistent is the first goal you want to achieve. Size comes with time and practice. And frankly, if you're not entering shows, does the number of stitches/inch really matter? I find that having the quilt very loose in the hoop (or using no hoop) allows me to get more consistent, smaller stitches. I tend to 'rock' the fabric vs 'rocking' my hand. I find it far easier to manage.
Joining a guild might just be the ticket for you. Or, if you have a LQS, I'm sure they have hand-quilting classes as well. And I agree with the poster who mentioned having a practice or scrap piece to get your rhythm going for a few minutes before working on your real quilt, at least until you get more proficient.
Good luck and enjoy.