Hi
I've fought with that problem too! I assume you mean a 'glaze' as a layering paint to get highlights.
If so, you need to thin the paint a lot according to the articles I've seen (check the Vallejo website for the Historical Miniatures article on using the paints). I found multiple coats of the thinned paint need to be used. Each time you tint the base color a bit, gradually building up to the color you want.
But with the very thin paint, you have to be careful to not get too much on your brush. So you need to 'unload' the brush before touching the figure. After touching brush to paint, touch your brush to a soft absorbent cloth or paper towel, then the painting surface. After some practice I found it worked well.
Andy