Are you using a regular microphone? I would imagine that a decent one would do the job, but your current one makes it sound that you are shouting from the bathroom or something. :)
I think a cheap headset would do just fine. Sal Khan doesn't use anything expensive.
I don't hold the microphone to my mouth, but simply put it on my desk. That's to prevent it from picking up my "pops". I need to start using a pop filter.