I learned Magic Loop and it worked, so I never learned DPNs. I suspect that most of the knitting world did it the other way around. Probably people were doing small diameter work on DPNs before the invention of circular needles, so that became the industry standard.
The video on this site that explains it is pretty good (Note: the demonstrator knits Continental style, so if you knit English it might seem confusing. But the Magic Loop part of it works the same either way.) There's also a way to do it on two circulars that's demonstrated there which you might find easier than either one, but I haven't tried it so I can't confirm or deny. http://www.knittinghelp.com/videos/advanced-techniques
I'm always going to recommend Magic Loop, but it's way more important to find a technique that works for YOU. I'd say try them all, give them a chance and the "right" one will present itself.