You have to have, for example, a size 5 tip on one end and a size 4 tip on the other end of the SAME cable. In this example, you need to make sure that you are always knitting ONTO the larger needle, that is the size 5. Same for the second circular. As long as you are always knitting ONTO the correct sized needle for the pattern, your gauge will not be thrown off. And another bonus for doing it this way if you are a tight knitter, is that since you are knitting OFF of a smaller needle, the stitches will be looser and easier to get the needle into.
Does this help?