I agree with Ann - heating the milk first makes a remarkable difference in the results. I heat to around 82-83°C (180°F) and hold it there for 30 minutes. Not sure if the last part is truly necessary, but that's what I had read when I first learned of the importance of heating the milk first.
As I understand it, what this step accomplishes is to denature some of the proteins, making them available to be included in the structure of the yoghurt. These are the proteins that are normally left in the whey after making cheese - the proteins that are recovered as ricotta cheese by heating the whey.