There are two issues people run into with these. Sub won't sink, and sub won't rise.
SUB WON'T SINK - A lot of these subs are too buoyant. So you will need to add ballast, but not so much that the sub won't rise. I've done this in a few different ways. I've added small paper clips, hot glued very small pieces of solid wire(around 24 awg), and used poster putty. Probably the easiest way to go is to use the poster putty.
I used Blu Tack, but any poster putty should work.
One more thing to try - add a drop of soap to the water. This will reduce surface tension and may help.
These are generally NOT fast paced toys, so you may have to wait a bit for it to rise. Make sure you shake it a bit when you first put it in the water, the baking soda needs to be wet in order for it to work.
SUB SINKS BUT WON'T RISE - Some of these subs only have a very small hole in the chamber where the baking powder goes into. This means even if the sub is shaken vigorously when it is first put in water, the water may not get into the hole to activate the baking powder. This can be solved by adding a small drop of water to the baking powder just before you put the sub into the water.
Here is the 26 min long video. These subs are SLOW, I had to speed up or splice out the wait time between rising and falling, and it was still a pretty long video, too long for youtube's 15 min time limit.