I have a hard time with it too. I try to look at other comics for inspiration on how to do mine. But these sites may help too:
http://www.comicbookfx.com
As for how to put them in, well, I guess it depends on the program you use. But one thing I know for sure is that the fonts make all the difference. I suggest Blambot, they have tons of free fonts and an SFX section.
Sometimes I put mine behind the action, sometimes off to the side, other time in front. Like these pages:
If you search “sfx comics” on Google Images, you’ll see loads of examples on how others utilize SFX.
There’s also this that might be helpful:
And I found this helpful, personally. Not only for designing SFX but also it talks about placement. The tutorial is for Adobe Illustrator but you can probably find your own way to do it in whatever program you use. I personally use PS CS5.
Tho I’d ignore the bit about “no drop shadows”, I say use them if you like them and they look good. But other than that it can help give you some good ideas.
I personally love SFX, but I’m not all that good at it.