Ok so I've been lurking the forums for a few weeks while I'm working on my recall and attaining lucidity, but I just signed up because I really wanted to help you out with this as it was a problem in my early stages of learning to lucid dream.
From my understanding of reality checks, they're more for confirmation that you're lucid dreaming. Before you even do one you should have already asked yourself "is this a dream?" and then go about doing the check. To get the most out of it, when you're doing reality checks while awake, you need to really question your reality, observe your surroundings, and think about what if it is a dream for a little bit before you do your reality check. That way you have already questioned and observed that it may be a dream and you can use the reality check to confirm it. When you do the check, believe that it will work and show that you're in a dream. If you just blindly go about performing the check each time you remember that you should do it, then you're just setting up a habit and not actually questioning your reality. Reality checks are most effective when you observe something that doesn't seem to make sense (this may be hard in waking life but just try to find simple things to use that may be out of place) and you actually question where you are and how you got there, etc. when you do them.
I've also found that when you're questioning your reality, couple your reality checks with a few other ones (I think someone already posted a link to the page with a list of them) because sometimes they won't always work. Luckily in my first lucid I did the finger through palm technique and it worked (weirdest sensation ever) so I didn't have to do any others because it was already confirmed. Granted, I woke up a second later cause I'm still a noob 
Also, as Shadow said, if you have negative thoughts about becoming lucid it can greatly impact your expectations, which may have been the case here when your check failed.
Check out Puffin's Sporadic Awareness Technique for good information about reality checking and awareness. (still new so I can't link yet, but shouldn't be hard to find)
Hope this helps! I'm still new but understanding this has greatly helped me achieve lucidity. I'm more aware of what's around me in my waking life from questioning my surroundings and it leads to an easier chance of becoming lucid in a dream.
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