I had the same problem for almost 2 years. First: Is all of the coal shinly and very light (weight-wise), if you got it from a mine and not from the breaker/sorting plant or a distributor it may have marginal quality pieces (the edge of the rock body that the coal vein is within will resemble the coal but will not burn well, will be heavier and dull in appearance than the good coal). If this is the case, you will be able to get a fire going, but to keep it going you will need better quality coal from the breaker or a distributor (it will be more expensive from the distributor than if you go directly to the breaker/sorting plant). I went through this process (found and mine nearby and it was a lot cheaper, but it isn't sorted to remove the marginal quality coal - makes for a lot of headaches).
With regard to the thickness of the coal bed you are burning, it should fill the stove to the top of the fire bricks. You should have more/a thicker coal in the rear of the stove than in the front (it's referred to as "banking"), you'll know when you have enough - it will be sloped from near the stove's door and the fire bricks will be covered in the rear.
The fire should be glowing red throughout once it is burning well, add the coal to your initial fire slowly in thin layers until you have it all burning/glowing red. The top of a good-burning fire will have an ashy apperance after a while and should stay that way until you increase the draft, shake and add more coal, but the bed should remain red and glowing. Remember, coal burining is not like wood burning, you must add slowly and be sure it has all "caught fire" before you add more. Throttle the draft back once it looks like it should and enjoy.
There should not be many unburnt chips in the ashpan, this may confirm my "bad coal" theory. In my opionin, the quality of the coal is as critical to maintaining a good fire as anything.