Cats who have eaten dry food all their lives can be extremely difficult to transition; we have a series of articles on this from way back in this blog, here are links:
http://onlynaturalpetblog.com/2008/03/14/why-switch-foods/
http://onlynaturalpetblog.com/2008/04/12/how-to-switch-foods/
You are absolutely correct, you *do* have to do it slowly, but a lot of folks get hung up on *how* slowly. This is not going to happen in a few days or even a week or two. I have clients who report their cat took many weeks or even months (as in 6 or 7 months!) to make the transition. Here's the bottom line: you are the grownup here, and you're the one who decides what the cats will eat. Pick one food as a goal and do your transition to just that food over a time frame that suits your cats; that is, each time you make a change, it is small enough that the cats still eat the food. Continuously throwing new foods at them when they have not developed the palate or even the psychological ability to accept new things is naturally going to get you a lot of wasted food. Fortunately when I did this with mine, my dog was still alive, so nothing was every truly wasted (and I had a built-in enthusiastic consumer of everything that made *me* feel better, at least!). Now I can change foods every meal and they will eat it. But it took a long time to get to that point, and even now there are days when what I choose to put out is not in sync with what they like that day! Also cats' appetites do wax and wane. One day they'll scour every last molecule, and other days (especially in hot weather) they're just not excited about it.
Patience and persistence, and then more patience and persistence...that's what it takes!