Knitting shish-ke-bab

So I've been knitting for around two months now--I've done swatches and scarves and I'm sort of over them. I wanted something new; I wanted a challenge. My mom-in-law gave me the book Knitting Help by Stephanie Pearl-McPhee...and I gotta tell you, she makes you believe you can do anything. So after hours of browsing patterns--both in my ever-growing knitting library and on the internet--I decided that I wanted to knit socks. Socks! The perfect knitted garment--offering almost every technique I wanted to learn: increases, decreases, ribbing, graphing, even cables if I wanted to.

I found the perfect (though tiny) yarn at School Products--the oldest yarn store in NYC and the tiniest needles I've ever worked on--a nifty new set of bamboo DPNs (3.00 mm)--and got to work on my swatch (only after finally unraveling the damned yarn; could someone please explain how to roll twisted skeins of yarn into balls without getting the whole thing all tangled? Please? It's killing me). I cast on. Thirty stitches and three rows later and I began to wonder--am I going to really be able to knit with these DPNs? It felt like I was knitting shish-ke-bab; the needles are so damned light. They really feel like those bamboo skewer thingys you use to make shish-ke-babs! I'm just not used to it. I'll plow through the swatch, but I think I have to look for heavier and more sturdy needles. Otherwise I think I might accidentally sit on one and and a) break them or b) puncture something.

My pretty, pretty yarn (I know you're jealous):