Have I missed something when connecting this stepper motor?
Looking at the product page, it's only a small motor with a holding torque of 150gfcm, or 2ozfin. If you compare that to this 12V 350mA stepper from the same site, which has a holding torque of 2kgfcm there is a considerable difference in power. So it sounds like it may be working fine, it's just not that powerful - 150gfcm should be quite easy to stop from turning.    

Holding torque is basically how much weight, placed on a certain radius pulley/shaft is required to keep the motor from turning. Below shows a 100ozf*in motor:

 

To test your motor, see if it can turn with up to 15g on a 10cm radius pulley (or a simple shaft with the 15g on the end) 15gf*10cm = 150gf*cm If you make the 15g able to slide along the shaft you can avoid having to change the weight.

Further reading