I find it easier to get the brass fitting "nut" started into the caliper if the mounting bolts are quite loose. This lets me shake and "wiggle" the caliper as I work the nut back and forth with thumb and fingers until it centers itself—and will start in with finger pressure only. It usually goes well in by hand, as long as the caliper is kept shaking or vibrating as I turn the nut.

With caliper tightly bolted, the brake line must be perfectly aligned for the nut to start into the threads. Most lines have a bit of directional bias that makes it very hard to start the nut with the fingers only. If a wrench is applied (in desperation), the nut usually gets cross-threaded. If that is your case, try to repair any damage to the brass threads (small file) before you try the shaky suggestion above.

I think I sometimes leave the upper caliper bolt completely out until the fitting is almost tight, leaving the lower bolt loose enough to shake the caliper.
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Bruce Young
'93 940-NA (current), 240s (one V8), 140s, 122s, since '63.