Some of you project knitters are going to hit a point where you have decreased so many stitches that the remaining stitches are tight and stretched on your circular needles. At this point (or hopefully a little before) you will want to switch to double pointed needles (DPNs).
Although using DPNs from the start of a project has been the bane of many a knitter, switching from circular to dpns on your project should be relatively easy. Most knitters use 4 or 5 dpns at a time, 3 or 4 to hold the stitches and 1 to knit with. In this case we will be using 4 (total).
Changing Needles
Count your current number of stitches and divide by 3. This will be the number of stitches that you move to each new needle. If your number does not come out even, you can add the extra stitches on to the last needle.
At the beginning of the round, knit one third of your stitches from the circular needle on to a double pointed needle, slipping markers at you knit*. Pick up a second double pointed needle and knit the next third of your stitches from the circular needle on to a double pointed needle, slipping markers at you knit*. Repeat for the third needle.
At the end of the row you will have 3 needles in your work replacing the circular needle which you can now set aside. Your work should now look like this, but with 3 needles instead of 4. The needles will form a triangle.

* The Problem with Stitch Markers
As you move your stitches from circs to dpns you will also be moving the stitch markers. At times the stitch markers will fall at the beginning or end of a needle. To fix this you can either slip a few stitches and the marker from one needle to the other or consider that each space between the stitches is a marker (and decrease at the end of each needle).
Start Knitting
Once you have moved your stitches from circular to double pointed needles you can begin knitting using the fourth needle.
Using the fourth (empty) needle, knit all of the stitches from the first needle.
You now have new empty needle.
Using the empty needle, knit all stitches from the second needle.
Repeat for third needle.
Continue in this pattern until the desired number of stitches remain. Break yarn and pull through the stitches (removing the needles). Pull tight and weave the yarn tail into the inside of the project.
Links
For complete tutorials (with fancy pictures) try “How to Create a Hat – Part 2” from jimmybeanswool.com or “Techniques with Theresa – Double-pointed needles…friend or foe?” from knitty.com