Tin both parts first. This means coat both parts with solder. If you use a rosin-based flux, heat the part until the solder just melts, and then wipe it around with a bit of steel wool until the entire area is covered by solder. (thank you, Taylor)
If both parts are coated with solder, place them together with a little flux, and a little heat, and whoop! the solder melts and you got yerself a joint. (not that kind, Mike Brooks)
Whatever you do, don't over heat the metals. Flux will burn, steel will oxidize, then you've gotta start all over.