How long are your short pieces of yarn? The Russian join does get a little bulky, wasn't a problem with my single-strand Stst sweater but I could see it standing out a bit more with lace double stranded. However, if you used only one strand and when you folded it to make the join pulled it through so that either end touched, you would have the same thickness all the way. Does that make sense? If not let me know and I'll clarify
Anyway, your short pieces would have to be long enough, so I'm assuming you've considered this already and the pieces are a good length? I tend to cut my ends really short.
If nothing else, perhaps you can search other yarn shops for the same dye lot?
recent FOs: Shedir cap, Bricks of Atlantis, Pirates Hat, Citrine Socklets, Teddy bears, 1 entrelac sock
OTN: scraps blanket, Shedir for Teenie, Ice Serpent Hat
NIL: Qiviuk tam re-visited; weatherproof gloves; sweaters
My knitting blog: http://emilai333.wordpress.com/