from crazy aunt purl, with lots of handy comments, especially this one on neatening the join, which i presume applies just as much to dpns .
Another joining tip: After casting on, but before knitting a stitch, do the following:
1. Move the last cast on stitch from the right needle to the left needle.
2. Move the first cast on stitch to the right-hand needle. So this by using your right hand needle to lift the first cast on stitch over the one you just moved to the left hand needle.
3. Place marker and knit the first stitch on the left-hand needle. The first stitch will be alittle loose from all this maneuvering, but you can tighten it back up by giving the tail a little tug.
This sounds more complicated than casting on an extra stitch and knitting it together with the first stitch, but it's actually easy to do. I think it looks a little bit neater too.