Why won't solder go around the whole pin?
Get some good quality and fresh 63/37 RMA rosin core flux wire solder (0.8mm is good for through-hole parts).

Preferably use a temperature controlled iron set to the recommended temperature for the solder you are using (600-700F for 63/37). 

Put the tinned tip in contact with the pin and pad simultaneously (press a bit harder against the pin, but a light touch overall) and, after a brief pause, apply a small amount of solder to the opposite side at the junction of the pin and pad or directly to where the tip touches the pin/pad. It should almost be sucked into the joint. 

If you are still having problems, try another type of header, maybe the gold plating is deficient in some way.