It's preferrable to cast on all the stitches to one needle, then divide. If you try to cast on to each needle separately you often get gaps "ladders" between the needles.
As far as what size needle to use, it depends a lot on your yarn and your patience. The heavier the yarn is the larger needle you usually use. My first pair of socks was a DK weight yarn on size 5. Now I'll often use fingering weight yarn and either size 1 or 2, but I like a very dense fabric without much bulk around the foot (otherwise my shoes don't fit)LOL. Yes I know I have FAT FEET.
Yarns that are designed for sock knitting usually give a needle range appropriate for sock knitting. If you're using a non-sock yarn, try going down at least two needle sizes from what is recommended for that yarn to get a denser fabric. Men's socks do take a LOT longer than baby socks, especially if you're knitting 'dress' socks as opposed to heavy wool boot socks.
Happy Sock knitting!!