i would be sure to use russet (non-shiny) apples. Shiny ones are harder for the caramel to adhere to, and if you bought the apples at the market, and they're shiny, they probably have been waxed, making it even more dificult for the caramel to stick.
You can also try scraping a grater lightly across the surface of the apples. . .not hard enough to remove the peel, just enough to make the surface less slick.