Keep in mind I only smoked H a couple of times when I had no needle available, but I noticed the same thing and felt like I was seriously wasting my money. What I did was I took a clear, plastic funnel (these can be kind of hard to find, but they do exist) held it upside down and then added a small piece of tight rubber hose on the spout. Otherwise the spout is too wide and unless you really control the amount you are inhaling your lungs will fill in just a second. Tightening the spout and making it smaller sort of forces you to breath in more slowly and get more smoke.
But basically, the clarity of the funnel allows you to see what you are doing and see the dope burning and the shape of the funnel means more smoke is going to get caught in it.
It took a while to perfect. Even with the tightening of the spout it is still really easy to inhale too fast and fill your lungs too early. But when done right, I got it where almost no smoke got past me.
There are also a few completely self-contained glass apparatuses that (at least I think) are designed for smoking H, but these are very hard to find (they are much more difficult to say they are for legal tobacco use). They are definitely the best though because all the smoke is completely contained.