Never sure about these posts as never 100% sure not trolling or how old you are - and that does change the advice.
Simply I dont think you have had an orgasm, you would know. Even with self pleasure you do need some element of foreplay and touching other areas that feel pleasurable, watching, listening to or reading erotic material all help. Depending on age etc some kind of sex toy could help.
The 'wetness' comes from some glands just in the entrance to the vagina, but the majority of women masturbate via predominantly clitoral stimulation (depending on what you read, only 25-33% orgasm from vaginal penetration alone). If you are just touching the clitoris (and you may do so and is likely to lead to orgasm) then great, but it won't get wet. The 'wetness' is just inside so you need to go - looking for it.
There is no right way to finger yourself, just ensure nails are short and if something hurts, stop. You can start by trying to gently put 1 in and work from there. Just sticking a finger up without some external stimulation, is unlikely to do much. A lot of the fun is exploring your body so you can learn what you like. That then goes on to help future partners and get a fulfilling sex life.