Hi Nicola,
I know how nerve wracking and anxious it can be waiting for eggs to hatch, especially your first batch.
Some breeds of chicken are renowned for having problems with a dry/thick membrane when chicks are trying to hatch - maybe that is the problem?
Some chicks go as much as three days over the 21 days before hatching.
I know most advice will tell you not to 'help' the chicks in any way, or open the egg, BUT (and I'll probably get a lot of flack for this) in certain circumstances I think you can't just stand by and let chicks die in the shell.
I had a silkie sitting on three eggs and one hatched - four days later the other two had not hatched and she decided to abandon them.
They were cheeping in the egg, but had got really cold. I decided to very gently and carefully to open them both by making a little hole at first and then slowly progressing.
It's lucky I did, they were very chilled, the membrane was REALLY thick and hard and they had no egg tooth, so they would never have got out and would have died in the shell.
They were both fine after warming them up.
If you think some of your chicks are going to die, I would advise helping them out.