Easiest way to grab an asteroid is to send in a lone colony frigate, colonize the planet, then build a turret. Build the turret right next to the planet so that the siege frigate cannot maneuver around it easily. The siege frigate will die before the planet, and you will retain control. Using this technique to grab an asteroid frees you to spend the remainder of your resources going after higher priority planets.
Against full-sized planets, this turret trick will not work. The siege frigates will relocate out of range, and if there are more than one they may take down the planet first. It can be done, but it's too unreliable. A better option is to send half a dozen scouts in first. Have them knock out the siege frigates, then send in your colony frigate to colonize the planet and build a turret to clean up the rest. Remember that Javelis outrange turrets, so you'll need to clean them up with your scouts as well.
With these sorts of tactics, you should be able to handle low militia planets without your capital ship present, enabling your capital ship to take on more difficult militia or bee-line towards the enemy while your frigates handle colonization around your homeworld. This is key to performing a double (or triple) colonization at the start of the game.