A lot of good stuff above....What I've noticed is that you have to get experienced in nymphing. As Max said you need to try to set the hook a lot more than you would think. When fishing a dry fly, most of the time it is quite obvious you get a take. When fishing a nymph it happens a lot that takes are very very hard to notice.
When I was fishing in Austria this september with Dutchdryfly, the first day looked like it would be difficult to catch anything dry. I told Rob that I wasn´t good at nymphing so I probably wouldn´t catch many fish. It turned out otherwise. During the day I noticed I even started setting the hook without conciously registering a take. A lot of fish were hooked this way. Only by putting a lot of time into nymphing you will get experienced and you will train your brain on registering the slightest difference in your drift that could mean a fish took (one of) your nymph(s). The only way to do this is by trying to set the hook on every deviation in the drift. This will train your brain to respond to these deviations in the right way and you will notice that you start hooking more and more fish.