If the fabric was cheap, my guess it is a polyester or other synthetic which makes it harder to press. Here is what I would do to hem it:
Run a row of machine basting about 1/2" from the edge, and then press up the lower edge to the row of stitching. Press a second time turning up the hem on the row of stitching. Pin to hold and then stitch close to the fold. Make sure you have an appropriate needle for the sheer fabric. (I'd use a size 9 sharp) The basting stitch makes it so much easier, and should pull out easily when you are done. When you do the basting stitch, do it so the bobbin thread is on the right side of the fabric, as the bobbin thread always is easier to pull out.
Life is not the way it's supposed to be. It's the way it is. The way you cope with it is what makes the difference.