Yeah, it takes some practice. Ten years ago when I first learned to knit on dpn's, almost gave up - but I'm so glad I didn't. Now, I'd rather knit in the round on dpn's than anything else - really!
That being said, the first few rows are the hardest, especially when you're first learning. But, as you continue to knit and get some work on the needles (3 rounds or so), it's much easier to hold onto and to work with.
Also, as far as speed, now that I do it all the time I can knit faster on dpn's, than any other way. For instance, I made 3 mittens yesterday in between doing housework, etc. It really does fly along when you get in practice. Of course when I first started, my first sock took me 2 weeks, lol!!
The lady that taught me to knit on dpn's... wow, I remember thinking that I'd never be able to knit like she did, it all seemed so fast. I think she'd be hard pressed to beat me in a speed knitting competition now.
Hang in there - it DOES get easier - I promise! (now if someone could come up with a smilie with dpn's, we'd be all set, lol)