Most rodents are really quick. You're lucky you were able to catch her by hand at all. Even when you do get a hold of them, they can often twist and slip away. One thing you can do to make it easier: Get them by the tail. Don't LIFT them by the tail, but if you can get a hold of it, you can hold on pretty firmly without worry of crushing anything vital, which can be a concern if you get them around the body. Once they're immobilized that way, you can just scoop them up safely. If they start thrashing when you have them by the tail, though, let them go. They can actually break it off.

Gerbils are fairly easy to catch because they are insanely curious. Often times, when they are under the couch I'll just tap my finger on the carpet near one side of the couch and they'll come up and sniff my tapping finger. Another option is to put an open grocery bag on the floor near the piece of furniture they are under -- after a bit the gerbil will crawl into the bag. When he gets to the back you quickly lift the bag up. Other rodents don't seem to do that.