Actually you can get the same gauge on the same needle with different weights of yarn. I used double stranded lace weight on size 9s and got the same gauge as worsted on 9s. The thin yarn just makes a thinner fabric. Try it sometime - take some thin yarn and your size 9s and see if you get the same gauge as the doubled worsted (which would be a super super bulky so no wonder the sts were tight with 9s, needed an 11 or 13 for that weight).
sue- knitting heretic