If you have a gyro with a transmitter controlled gain, than you have to set the gain on the transmitter, if not than there usually is a screw on the top that sets the gain.
if you tell us what gyro you have, we might be able to help you more.
Edit, im an idiot: i have not looked into the gyro that much, but its clearly a "transmitter setting gyro". on the gyro you have 2 male connectors and 1 female, the one with one yellow wire coming out of it is the "gain channel".
btw, if the gain on the TX is correctly set, have you cheked the wires? they might be damaged and that might cause the gyro to gitter and not move when its supposed to...
No difference I plugged the gyro gain into throttle and even at different points on throttle it still does the same thing. The only change it makes is switching between the two different gyro modes headlock or the one that follows then centres again. I am going to take the gyro apart and check for cold solders.
what Glydr said... gyros are supposed to jitter somewhat, have you tried installing it in a heli and flying it? have you tried to hold the gyro without moving it (by pressing it to the table or something..)?