I just captured my first asteroid following Hyomoto's advice. It worked! I want to add some things to what was said though: 1. What is the size of the asteroid you are going to capture? Size matters. My class C asteroid weighs 120t. 2. Try to grab the asteroid near its center. This is important because of having to point your ship at the center of it's mass. 3. Once you dock with it, right click on the asteroid and click "target center of mass." 4. Right click on your advanced grabbing unit and click "Free Pivot." 5. Move your ship around until your navball aligns with the asteroid's center of mass. 6. Right click on your grabbing unit and lock it. 7. Now you should be able to do things like circularizing its orbit around Kerbin.