I struggle to get it to work, too. The demo makes it look so easy, but somehow at home it doesn't work out like that for me.
I started with the blue (wash off) chalk, but the action of sewing sort of "bounced" it all away. The white iron-off seems to stick a little better but it still just kind of vanishes from the movement of sewing.
I haven't figured out what I'm doing wrong, yet.