Try to wake yourself up in the morning without an alarm clock. This could take a bit of practice, but it seems much more effective because it is much more natural than an alarm clock set to go off at 3am, and it is more likely to be during/after a REM period.

Like somebody else said, patience is definately the key. You can try everything as much as you want, that is a good thing to do in fact..... Just don't get discouraged when you can't do it right away. It took me about 2-3 months to go from never remembering my dreams, to having 1 very short lucid dream.

If you stick with it, you'll be able to do it soon, I promise =D