How can I grind sesame seeds in my coffee grinder better? When I grind sesame alone or with flax seeds, I can see that many of the sesame seeds are not ground. 

When I grind several things together including sesame, flax seeds and mixed nuts, like walnuts, almonds, and cashews, the powder becomes more stuck together, and I can't see unground sesames. 

Does the second way indeed grind sesame seeds finer or are the unground sesame seeds hidden in the powder?

My coffee grinder is KRUPS F203 Electric Spice and Coffee Grinder with Stainless Steel Blades, 3-Ounce, Black:
Grind the sesame seeds separately using a pestle and mortar (if the seeds really have to be ground).

Grinding sesame seeds manually isn't as hard as grinding the other nuts/seeds that you're mentioning - I think it's just the size that helps them not be hit by the grinder blades so effectively.

So, pestle them down and add to the mix afterwards.