Well, Sari, I had some time this afternoon (which I took off to clean the house, but I got bored) and so I looked for some free online videos to help you out with the knitting on double pointed needles (dpns).
I am including links to 3 sites I think you'll find helpful.
Knitting Help.com has several how-to videos on their site, but in Advance techniques, there is a section called "Small Diameter Circular Knitting" which includes help on knitting on dpns. I think the video looks pretty good, but it's the only one I looked at on the site.
Knitter's Review offers Knitting Tips: Getting Started with DPNs in Four Easy Steps which is not a video, but a step by step description of what to do. It is pretty clear, and I think it could be helpful.
Another step-by-step description of how to use dpns is on Stitch Diva Studio's Knit Tutorial - Double Pointed Needles. This tutorial includes photos.
One thing I learned from scanning several sites for easier-to-follow instructions is that some knitter recommend rotating the stitches around so that the same column of stitches is not always at the beginning of a needle. This is supposed to make your knitting have a more even gauge, decreasing the possibility of "laddering" between needles. I've never done that, but I don't think you can tell from looking at any of the socks I've made where the needle changes are. I can't tell on WK's either; Do you rotate your knitting, WK?
I think that the simple answer to what you're doing is that you're forgetting to use the newly emptied needle as the working needle, and are continuing to use the original needle after knitting the stitches on the original needle. Does that make sense? I know I had to read several descriptions of how to do this style of knitting, as well as look at that free online helpful videos. To find these things to pass along to you, I Googled this: "double pointed needle video" and this "double pointed needle help." As is usual with Google, some things just weren't helpful.