I would guess we are talking about the XD9SC in your profile picture?
I have the XD40SC.
As previously stated, Grip. Mine isn't particularly sensitive to limp wristing, but it could be a contributing factor (if your ammo is iffy).
Extractor. Check to ensure that it's not gunked up to the point where it's movement is impeded. Mine gets pretty grimy sometimes. But then I shoot mostly (my own) cast reloads in mine.
Ammo. Not sure about what your using now, but Winchester White Box is a solid product. Wal-mart federal is reliable (for me), but groups opened up noticeably. Stay away from the Gun Show Big Bag-O-Reloads stuff. Mine isn't particularly ammo sensitive, but that's not to say yours couldn't be. Sub compact guns can be fussier than their bigger brothers.
Also, for future reference, if you have issues with the slide not locking back after the last round, make sure your thumb is well clear of the release lever. You would be amazed at how little interference it will tolerate.