Without knowing exactly how you've set things up, its very hard to say what to do.
The spray needs to go on wet, so the gun shouldn't be too far from the surface. The further away you are, the more time the solvent in the finish has to dry on the way from the gun to the surface.
The lacquer may need to be thinned more, as if it's too viscous, it won't flow well and so you end up with less lacquer being sprayed, so it doesn't go on wet.
I tend to drop the air pressure until I've got just enough to give a decent spray. More pressure gives a stronger spray, but you also waste a lot more lacquer as it bounces off and doesn't stick. I'd turn it up a bit if doing a sunburst edge, as I'd want the gun further away and want to encourage a lot of fine particles at the edge of the spray cone, bit otherwise I find a lower pressure works best for me.