Here's one method of doing it (or rather two). The knitter recommends grafting or if that's too fiddley, using the tails of the yarn from the fingers to sew up the holes between fingers. I suppose k2tog would work too, instead of grafting. Are you knitting tubes for the fingers or are you going to try I-cord fingers?
Well, after messing it up the first time and starting the three fingers over, its going really well.
I've just attached the pinky finger and I'm loving the way Nona instructs you for joins. It was a tad tricky adapting my own pattern. There is just one tiny hole between each finger, nothing that can't be closed up really easy when weaving in.
What I really like is the fact that the bulk isn't there between the fingers, like it is when you pick up and knit.
Anyway, just wanted to update everyone who helped.