I used my red pencil for the first time last week and it worked like a charm. I drew on cheap printer paper and used my iron on the hottest setting and steam. It only took one little press. Try a different paper maybe? Or sharpen your pencil? Maybe part of the lead was a dud.
What I want to know is do the red marks launder out?
Good luck to you. I'm sure you'll figure it out. I bet those vintage transfers are adorable. Can't wait to see what you embroider.