Does your baby watch you eat and seem fascinated by it? That's a sign that he/she is ready for table food.
One thing I did is to actually eat off her spoon myself. She gets a big kick out of it and it gives me an opportunity to test the temperature if I've used the microwave to heat it up. She loves to mimic me and usually opens wide after I do this little trick.
I remember the first few times we did the cereal -- same thing as you described. I kept wondering if she was swallowing any (because it sure didn't look like it!!), but then I realized that the amount in the bowl was decreasing, and the only other place it could've gone isn't inside of her, so she must be swallowing.
Part of the whole "learning to eat" process is not just to see if she likes/isn't allergic to certain foods... it's also to get her used to the different textures, smells, motions, etc. regarding eating. She's still getting 90+% of her nutrition from breastmilk/formula, so this is just "play". Better to get her used to it now when she's still pliable then when she's 9 or 10 months old and is starting to exert her own will.
Keep trying it every day. She'll get it.