You're right, mindfulness is one of the core skills of DBT and it's one we all struggle with, because it's so magnificently simple and yet involves a lot of learning how to do, so most of us have a niggling feeling of 'I don't get it' or I'm doing it wrong'.
The task in mindfulness is to observe and possibly describe what's happening in the moment. Not to constantly or steadfastly do this, but to come back to this activity whenever you notice that your mind has wandered off (which it does around 10 seconds after you begin, usually).
Rather than get frustrated by this or make judgements about yourself or the task or the environment, the thing to do is to observe and let go of these thoughts and feelings and 'turn the mind' back to observing the present, whether that's the sounds in the room or a cup you're holding or chopping the veg for tea or a painful feeling.
Itâ€™s a marvellous thing because it teaches a different way of being with oneself, one's world and others, rather than trying always to fix things or get rid of feelings and problems. it's about acceptance and letting go, which is why it takes a long time to feel the hang of it...we've all spent a lifetime using the other ways of coping
Lastly, it's best to start mindfulness practice in a space where you're not too off the wall emotionally, because it's harder to be mindful them, though that's often when we most need to be mindful. start your practice in an 'easy' space then as you get into it, use it in more difficult situations. if you're practising to climb Mont Blanc, you usually start training on a local hillock rather than the mountain itself!