This is easily the most time consuming and tedious part of the build. While many other people might rewind their own primary coils on the flyback, I prefer to use the ones already available, since they are already nicely potted in the flyback. Unlike most flyback driver circuits, which use a primary and feedback coil, this just uses one primary coil. To find the primary coil, its down to trial and error. Using a multimeter, measure the resistance across each pair of pins. I find that in a majority of flybacks, the primary coils (as there are usually more than one) are situated so that their inputs are next to each other. That being said, this is not always the case. As you measure across each set of pins, take note of their resistances, as the one with the lowest resistance has the fewer number of coils. This is the one we are after. However, make sure that this is an independent coil, and that there isn't a third pin connected to it. Once this coil is located, the secondary coil needs to be located. Part of this is already done, since one "pin" is the fat (usually red) wire that comes out of the top of the transformer and has a suction cup on the end. The method for locating the second pin is relatively crude. Connect a 9 volt battery to one of the primary coil pins with an alligator clip, and to the other primary coil pin, connect an alligator clip. Don't connect this alligator clip to the battery yet. Take fat the red wire, and with the suction cup removed and the end stripped, place it close to one of the unused pins. Tap the disconnected terminal of the battery with the loose alligator clip, and look for a spark between the wire and pin. If there is none, move it closer and try again. If there is still no spark, move onto the next pin. If the wire doesn't spark to any of the pins, reverse the polarity of the battery and try the whole process again. Eventually, you will come across the pin you are looking for. Before disconnecting the battery from the flyback, take note of the polarity of the primary coil pins. If you are using one of the new flybacks, the polarity is important, since they contain a rectifier and voltage multiplier circuit. Once the primary coil is located, solder two long wires to it, and to the pin that the fat red wire sparks to, solder another wire. Then, just to be safe, pot the pins in hot glue. Make sure to use plenty of glue, and fill all gaps and spaces. This prevents unwanted arcing. Once this is done, the coil is all set.
I would check to make sure you are running it at the proper polarity, if it is rectified, as well as making sure you are using one of the lowest resistance coils.