I've cooked my first polenta.
it was too dampish, without shape, but also not easily sectile: it couldnt be easily cut.
What should I do better next time?
As your question stands, the possible answers are essentially:
Polenta is the sort of food that you should make by trusting your senses over a recipe. You should be able to tell, with a little bit of experience, whether it's too thin and wet after cooking for it to set once it cools. If it is, you can cook it a bit longer on low heat to get more water out of it, and the next time you can compensate with more cornmeal or less liquid.
Also, since I don't know what recipe you used, do note that there are also recipes out there for soft polenta (usually described as such), which is intended to be served soft, not cut.