I don't have any problems wetting, and I can tell you it's
all due to practice! I think dogboy raises an important point in that it can be important to pay attention to your surroundings as well as what you are doing. Depends really tend to leak so I don't suggest wetting in any situation where you wouldn't be able to deal with the clean up - a bed without protection, a public place without a change of clothes, etc. That can hold you back unconsciously. And wetting while in public can be extremely difficult unless you've had a lot of practice as well, so I consider that "end-stage" stuff.
I really recommend ZooeySis' approach, that's how I started out.
Whenever I am wetting, I really try to focus on relaxing my muscles, particularly my thighs. I find that I have a tendency to clench my thighs and pelvic muscles when nervous and that cuts off the flow.
Also, if I'm worried that it might be too much for the Depends to handle, I double-pad.