They key to doing the moment generating functions in my experience was to combine the term with the rest of your function so it can be factor out of the integral or it can be turned into a recognizable integral. I am no master on them, as we only did them in class for some simple distributions, but if you told me which distribution you wanted help with I might be able to help.

Also check mathworld, there is tonnes of clarifications on how to derive MGF's.