I personally would try and invest in a Kabuki, they are denser than ordinary blusher brushes, but you should still get reasonably coverage. And a brush works better once it's 'primed'...ie been used a good few times and has a build up of foundation in it.
Its not just a case of brushing it on your skin....mineral foundation needs to settle deep intu your brush, like Angie says and then you buff it on in a circular motion. As you buff you should see the foundation start to become more part of your skin as opposed to sit on it. Concealer too - my concealer and foundation last me all day and night!
Also, I suspect the opposite of dry skin being an issue...I think you possibly have too much surface moisturiser (even if you skin is dry underneath) as this would expalin the cakey look. Try moisturising a little earlier and /or blotting your face with a tissue before application. Surface moisturiser means that the minerals just slide off the skin as opposed to working with it. You could let your night cream do the hard moisturising work and use a slightly lighter lotion during the day, with less surface moisture.
Finally, a quick spritz from a brumisateur or even just a water spray will help set your make-up once you have it applied well, and they only way you'll shift it then is with a good cleanser!
