May be I should create my roses on top of wax paper squares but I don't. Of the few I've tried my hand at, I end up chasing the dang "rose" till it's about to fall off the nail.
Is the icing too soft? What am I doing wrong?
Sounds like soft icing to me. You could also try making the roses with a hershey kiss as the base or on a skewer.. http://www.cakecentral.com/article50-Making-Buttercream-Roses-on-a-Stick.html.
Have you ever tried using a Hershey's Kiss as the base for your rose? It is great (but I do use the wax paper squares). You just "glue" it to the wax paper square with your BC. It provides a stable, perfectly shaped base for your rose.
A trick my Wilton instructor did for us was put a little blob of that green florist's putty on top of our flower nail to keep the wax paper on it - works great. I just cover it with plastic wrap to keep it soft.
And yes, it might help to make your icing a little more stiff. But if you are getting ragged edges, that is too stiff.
Are you using BC? if so, as a beginner to roses, I suggest mixing in some powdered sugar to make your icing stiffer. If you are making your own icing, just add less water next time. No need for waxed paper unless you are making them in advance. Also, there is a certain amount of balance requried when it comes to using soft BC. Kind of like riding a bike, once you learn how to balance it just right, you forget about it later after you have done it enough. Stiffer icing will surly change things for you. Mix in enough powdered sugar until you see a real difference in the consistancy, it may take more than you think. But don't add too much so that you have a hard time getting it to squeeze out of the bag. I promise you'll get it!
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