Peanut butter. Best by far, it sticks to the peg so they have to get right onto the trap to lick it off. Anything that falls off the trap is likely to result in a sprung trap no mouse, or a mouse caught by a paw or the tip of its nose - not nice for you and especially horrid for the mouse.
Set traps in places mice would like to go - alongside something, dark corridor type places. Sometimes you can see droppings that tell you where they run, so set them along there.