Bnixon,
Look at Clemson's reply because I do the same thing with ONE ADDITION. My grease gun has a primer on it and I didn't know it when I first bought it. I don't have the gun in front of me but after pondering what this "primer" was the first time I loaded the gun and didn't get grease, I played it for a while and then it hit me what it was. Check and make sure yours has a primer which feeds grease into the line. I think I had to turn it, pump the handle a few times, then close it. It's been a long time ago but I guess the point is, look and see if there's a way to prime it.