you aren't angling it enough to the side (or you're using a char with a very short wave-dash, although this can be useful sometimes too). try somebody like luigi, ice climbers, mewtwo, marth, yoshi, roy, dr/mario, g&w....they all have long wave-dashes and you should travel about the length of a roll or longer if you wave-dash well with them. The control stick should be primarily to the side and not too far downwards.
also, read up on toby's wave-dashing guide: http://www.freewebs.com/xiffer/wavedashing.html. This explains some of the uses of wave-dashing. Some of the things he doesn't go over in depth: wave-dashing out of your shield with anybody but Yoshi is an effective shield exit; wave-dashing on and dropping off platforms can create unorthodox movements that are very confusing and useful; it's also very useful for spacing attacks like marth's tipper that require a certain range to be most effective.
in general though, it's a very effective method of movement and very useful to know.
DDR: want to pass Paranoia Survivor ~ Religions are just cults with more members. -- The resident SSB:M Captain Falcon user. -- "Let's eat fast so we can eat again!" ~ Ash