Here's my patent pending "Nyanyan's Perfect Slave Maker Strategy*"!
Step 1: Capture. Choose a target that tickles your fancy, beat 'em to a pulp, and capture them with the rope you never, ever, ever forget to buy.
Step 2: Befriend. Take the captive home and get them set up in their jail cell, then immediately yell at them for doing something wrong. AKA Berate.
Step 3: Success! Put them into the common room, leave them on rest for a while, and scream in their face every day for a while. Eventually they'll start to like you.
Step 4: Profit. ???
*May or may not actually be perfect. Escape attempts may be made.
But in all seriousness, this usually works for me. If you're not quite as risk-take-y as me, you can leave 'em in jail for a while, just make sure you berate them every day. I'm not sure if it's true, but having them set to rest seems to lower the chance they'll escape. And, as long as you're berating them when they aren't at max obedience, you have a perfectly use-able slave. Even without a brand. It's kinda like Stockholm Syndrome. Keep 'em long enough and they'll grow to enjoy it. xP
For best results, I'd suggest buying Handcuffs. They increase obedience daily, and, from their description, completely remove the chance for a slave to run.
As for getting them into a willing sexual relationship: Just make sure to keep their luxury high enough to not have them complaining. As you do, they'll slowly come to respect and, eventually, love you. I find that around when it says 'Shows considerable respect for you as his/her master' is a pretty good point to start asking about sex.
Good Luck.