You can also just start knitting with the first DPN, as if it were the right needle of the circular needle. Make the first stitch tight, as always with a new needle, to avoid a gap. So, knit 1/3 of the stitches onto that DPN, then 1/3 onto the next DPN, then the next, and you'll be all on the DPN's. (Or knit 1/4 of the stitches, if using 5 DPN's.)
Hope that helps.