Usually you have 3 needles with stitches on them, and one that you use to knit.
Basically you knit the stitches from one needle to your empty one, then that one becomes empty and you use it for the next. Amy has video, which I'm sure will be more helpful.
The stitches won't fall off the back end because there aren't enough. They could, if you let them slide around, but it's usually not a problem.
Using dpns at the top of a hat is the best way to learn them.
You could continue with magic loop or using two circs, if you want to learn those techniques.