If you have the battery in right (which it sounds like you do, since the leds for charge light up) and you turned the wheel all the way to "on" position, you aren't doing anything wrong. It sounds like you just got a bad apple. Sorry.
When I used the Neewar LED light my professor let me borrow, he had only charged the batteries a little, so the light was weak and faded quickly. I took it home and popped in fully rechargeable batteries, and it worked like a charm. Needless to say, I read reviews about the Chromo brand and decided to buy that one instead of the Neewar brand because of the stable metal mount.