I've been trying to paint some 60 year old windows in a garage that have never been stained or painted before.

I used three coats of kills primer and four coats of paint but it's still not getting good coverage. It's being absorbed by the wood and looking more like a white-wash instead of a paint job.

Did I miss a step here?

Did you consider an epoxy consolidant and filler? Was the wood in bad shape after you sanded it?

The wood is in very good shape, it's not directly exposed to the harsh sun or elements.

Eek. good condition is relative, and I'd have to see it.

Before I'd even paint some 60 year old windows, I'd hit it with a bunch of this:

http://www.minwax.com/products/maintenance_and_repair/high_performance_wood_hardener.html

That'll basically turn it into plastic. But since you've already painted it with a bunch of Kilz, then I'd just keep going the way you are... the Kilz WILL just soak in, after a layer or maybe two you should be good to go.