So there's a big gap that forms a 'ladder' between the needles, where they join?? Something that I do (when I use dpns, which isn't often at all, I'm more of a magic loop kinda gal ) is this. When I reach the end of needle 1, instead of immediately switching to using the empty needle to knit off of needle 2, I keep on with the same needle that I just knit onto and with that needle, work the first few stitches of the next needle. Then I take the empty needle and work the rest. I do this after every needle. This way, the 'join' rotates around the sock and it is not noticeable as one ladder all the way down, in fact it's not noticeable at all. Using this method though, the beginning of the round rotates around as well so you need to be sure that you place a marker where the true beginning of your round is.
If that's not the problem, it may just be that you are not used to the small needles and just need to keep plugging away until you get better at it. There is a big difference between a size 4 and a size 2, I know. It feels like knitting with toothpicks at first. You can do it though!