You should preheat the wire until the solder melts into the wire. Don't have a glob of molten lead at the tip of your soldering iron/gun. Chances are it will not solder well.
Best way to do it is to "tin" both ends of the wire with a thin coat of soldering lead. To do this, simply heat the wire's end with the iron/gun and then touch the tip of your soldering lead to melt into the wire. After you got both ends "tinned", you can solder them together easier and with less mess.






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