Well... since Ingrid is not here to answer this, I will have a go at it. I've just recently been using DPNs myself so here's what I've been doing.
With DPN you have the flexability to decide which way your circle goes - your working yarn can be either on the nose or tail end of your knitting. Does that make sense so far? The last stitch that you cast-on can either be the first stitch that you knit or the last depending on which way you create your knitting circle.
Right or wrong, I've been having the last CO stitch as the last stitch on the row. I knit directly into the first stitch when I make the circle (triangle) with the needles which joins the rows right away. The yarn goes from the last CO stitch into the first CO stitch. Hmm... I don't know if I'm being clear?
Tell you what.... Check out Silver's sock site for a really good set of photos on how to join the rows on DPN. Even if you're not doing socks, she has very detailed photos and the process is the same.
I hope that this helps somewhat and, if I didn't help... I KNOW that Silver's site will! It's amazing! Here's the link:
Best of luck and sorry that you picked a non-Ingrid day to ask. I appologize for taking so long to find you.