The most important factors with heatshrink is how small it can shrink (3:1 or 4:1 and its original diameter) and how thick the wall is. If you have lets say 1/4 hs tubing and its only 2:1 (wich most dept and home improvement is) no matter what you do it will not work cleanly unless you move the heatshrink way up the connector as the heatshrink will simply just add too much bulk for it and the wire and sleeve to fit into the connector.
Wire size is another thing to have in mind, 16awg wire is almost impossible to sleeve with heatshrink cleanly, not totally impossible just hard. Your best bet is a 18awg stranded wire with a good thin coating.
In my sleeving faq I give a source to a cheap 3:1 thin walled heatshrink that works ok, however the best precut heatshrink is from MDPC. This is coming from a ton of experiences in sleeving and using many different types of sleeving.
Technique is only part of the equation, if you dont have the right materials it just wont work.
Please feel free to ask any more questions if you have any. Edited by Lutro0 - 4/7/12 at 9:25pm