Little and often is the key with them.
Talk to them whenever you give them treats or anything nice happens so they associate your voice with good things.
Stroke them while they are having a snack and they get used to being touched and your smell.
Offer them treats and lure them out of the cage slowly, or use a long kitchen roll tube to trick them a bit so they pop out of the tube into your hand. I find the most dicey bit of training them is getting them used to being picked up and its better to have them used to you before they are used to being cupped and picked up.
Wear a nice big fluffy jumper or something when you are holding them so they have plenty to hold onto this makes them less scared because its warm and snugly and they aren't worried about their footing (we have a big hamster training fuzzy dressing gown).
Use the hand tunnel method to get them more used to your smell and being held closely (where you hold your hand in a "U" shape and the run through then you move the hand behind them to in front and repeat until they realize sideways is an option).
I used to let them go up my sleeves as a good smell / proximity trainer but to be honest once you have had a hamster decide they are now nervous and don't want to come out (for over half an hour with them scrabbling around) it can put you off.
If you have a setback don't worry just leave them alone for a while to calm down and try again. The biggest limiter to hamster training is the humans nervousness its catching, just take a deep breath and carry on going. It can help your nervousness to be in a situation where you know they can't escape which is why the bath thing can be so awesome. Its so easy to be nervous too, but we have all been there and it generally works out well so you have stats on your side
I've not heard the tissue thing before that's a terrific idea, im going to do that with my new ham tonight