You likely need more coats of sealer. Depending on the porousness of the tile and the quality of the sealer you may just need more to get the job done.
When you do the shower walls, I would follow these steps:
- Make sure your wall is waterproof - good suggestions from @Shimon Rura.
- Install your tiles.
- Apply two thin coats of penetrating sealer. Leave each coat on for at least 10 minutes before wiping off (or follow the instructions).
- Grout the tiles, using sealer instead of water in the grout.
- Clean the tiles very well, allow to dry. Apply two more thin coats of finishing sealer.
If you're using the glossy sealer this might be a bit much. I would use the clear penetrating kind for the pre-grout coats.
The pre-grout coats are not strictly necessary, but do serve two purposes. The first is that if you have porous tile it will give you the extra protection you need. The second is it makes cleaning up the grout easier if you're sloppy. Adding sealer to the grout is supposed to help with bonding it to the thinset - not sure if that's true, but if you have extra on hand it works fine.