I use a piece of paper kitchen towel moistened with a bit of water. Simple and effective.

Yeah, I found that my cloth wasn't wet enough. The microfiber cloth worked pretty well too, thanks.

The steam wand you were using, was it a regular hot one, or a 'no burn' wand? I'm guessing regular?

The commercial machines seem easy to just give it a quick wipe and it comes off, probably because they're no burn ones.
Mine gets the buildup too, it really bakes on, so I have to give it a good hard wipe all around with a wet bar towel. It's annoying but it's managable.

The old style Silvia wand that I assume you're using is especially hard to clean because it has a narrow tube with a wide tip, and it seems to collect milk in the transition between the tube and the tip. You just need to be really thorough about cleaning it, or be ready to chisel off the dried on milk crust later. Not pretty.

In my post yesterday:

"Wipe wand down immediately after foaming with folded cloth....then wrap same folded cloth around end of wand and run 4-5 seconds of steam."

Forgot to mention, always with a WET cloth.... Intead of a towel, like Chris, I use a folded once, wet dishrag......and when steaming afterwards, 4-5 seconds, I fold it once more, makes four layers of wet cloth.... Most of steam stays inside cloth.
Beautiful result.

In my experience, wet espresso towels turn hard and smell awful after a couple days. I fill an espresso cup 1/2 way with water and steam until boiling (5-10s). The residue wipes clean off, but watch out, there is a fine line between boiling and exploding water

@ Benjammer, it's a regular. @ Beezer, I find that I have to screw of the tip in order to make sure I clean the inside because a little milk finds it's way into the crease between the tube and tip.