Shoorty69- you will have to play with the valve, you want a smooth tornado in the main tube. The bubbles will start to rise into the collection cupin about a day or 2, it shouldn't take more than four days to "break the skimmer in" if it hasn't started collecting by then you should readjust the air flow, starting with it completely closed and opening the adjustment screw about 3/4 to one full turn.
Dr. Evil- save your money and invest in a better skimmer. Sea-clones will work, but they take alot of tweaking and constant maintenance. They are poorly built and too much movement one way or the other on them at all will cause a leak in the j-tube and small plastic pieces that are essential to holding the connections together break off way too easily. (sorry if you read this far shoorty69, just be careful when cleaning and moving your skimmer you will probably be upgrading soon but make it work while you can.)