Okay when you plug it in where did you move the slide to? All the way up to the top? In other words when the little red LED light is brightest? If you did that's your problem right there. Basically how these work is by exerting influence on how much power is getting through (I know this isn't exactly how they work...just my basic take on it). Therefore when the LED light is brightest (the slide is all the way to the top) you are exerting full control on the item so there is little power to it....in other words...no heat.

Slide it down, so the LED light dims, you are exerting less influence....your heat source will warm up as it receives more power to it. To make this easy to remember put a C (for cool) at the top, a H (for hot) at the bottom, find the sweet spot and make a mark so you know where it will normally be. These things need to be checked twice daily though as you may need to adjust it - it can't self adjust as a tstat would.