Hello there,
I am currently training to be an instructor of Pilates. I suggest using the library as a wealth of resources to check out a variety of DVD's - then choose your favorite presenter or difficulty level from that free overview.
Stabilizing the core or "powerhouse" (midsection) is what Pilates is based on. Stabilizing the core is actually more important that how large a circle or corkscrew you can do with the legs.
Also, when you stand in the "Pilates stance" or lie on the floor on your side - there are three areas you should be focusing on stabilizing - the core, the pelvic floor, AND the upper/inner thighs. This is foreign to most people unless they were dancers. So practice (even standing in line at the store) feet in a V, pulling the navel in towards the spine AND up tucking it under the lower ribs, adding a kegel (stop flow of urine)to pull up the pelvic floor, AND Pull up thru the inner and upper thighs - while relaxing the quads (outer thighs). then add an isolated leg circle, etc and have someone watch to see that you are still isolating the core. Double leg lift from a side lying position, make sure your waist is lifted off the floor - not collapsing down. Think long torso. Then isolate the upper leg, while the lower leg comes up to meet it - repeat 8 times. Then gently freestyle kick the legs with just light fingertips on the floor in front of you for support. Making sure core is not moving. You will feel it. Let me know how it goes. P.