I was in the same situation a year or so ago. Lost gobs of money with adwords trying to compete on expensive kw's.
Now I'm running things a bit differently. I not only run campaigns for some of my own stuff, but some for clients as well. It's getting better by the day. But as others have pointed out, it's best to shut down those losing campaigns and do some research before getting them going again.
I'll try to post more specific information in another post, if I think it might be beneficial.
Best regards,
Sine