I'm not sure what might be causing your problem because it sounds like you are doing things right. This is what I do. Swipe the paper with your embossing buddy. Stamp with versa mark ink. Pour coloured embossing powder over versa mark stamp image. Pour excess powder off onto a tray, scrap paper, etc. If you notice stray bits of powder wipe those off with a paintbrush, cotton swab, etc. Then heat the embossing powder with your heat gun. I sometimes heat it from below.
Hope you're able to solve your problem. It's so frustrating when I can't get things to work right.