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Don't feel bad. I have played SoB,BT and SW. I have never won a game. I am at the quit point also. I enjoy the hobby. I am working on Wolf Calvery and SM Bikes. All will be destroyed by my opponents.
Try goinging aginst a vet with mech Eldar. They are real tough. It will make all your other opponents a little easier.

resinmann has the right idea. The trick is to find a veteran player who is fairly good and who has good attitude and you enjoy playing, and play him a lot. You'll be amazed at how easy other people seem after playing that veteran for a while.

Example: I first started getting into the gaming side of the hobby when I started showing up at local "starter" tournaments, or basically tournaments run by veterans for beginners. I arrived late after work, so I couldn't participate, but the organizer had extra tables so he offered a quick one-off game. We played, had a blast, and I quickly became a regular at his game store. He always treated me with respect, even though he won soundly every time.

Eventually, as his other obligations reduced his gaming time, I began to play others at the game shop. I was amazed at how much I had learned by playing that one veteran... I soon became the go-to-guy for rules disputes, because I could recite many of them verbatim after getting to know them so well because of that veteran player. Some of the newer players started referring to me as one of the veteran players, just because I knew the rules so well (and definitely not because of my win/loss record, I've only won about 1/10th of my games).

So I guess that leads us to another sound piece of advice: memorize as much of the rulebook as possible. You'll be better off for it, and you'll be able to exploit tactical situations better. Hard to exploit a situation you aren't aware of, right? For example, if you didn't know what a sweeping advance was, would your opponent really be willing to remind you to roll for it? Probably not.

The important thing is to stick with it, and make sure you are playing for enjoyment. Also, ask for advice from your opponent at the end of the game. Ask him to critique your gameplay with specific questions like, "What unit did I use best? What opportunities did I miss that you would have taken advantage of? Which units could I have used a lot better?" and so forth. This will help you develop as a player.