Make sure you both run same mods or no mods as it won't synch otherwise.

If you're both playing via steam, use the friends list to join.
The one creating the game needs to have the box for server checked, not only when creating the world but each time you start it.

I had to use Hamachi. It would be nice if the game had steam invite and join options. Unless it does and it just doesn't work for some people.

Edit: Also for me, the game doesn't show up in the server list because my ISP has a router in their system that blocks everything that doesn't have automatic tunneling etc. I can't open ports and set router settings because there's at least one router I can't access.