Nope, it's normal for them to look big as you're making them, but they're not so bad a few rows beyond and when you wash/block them after you done. You slip them onto the cable needle with the needle points tip to tip as if you were sliding them along one needle. Sounds like you're doing it right; cables with a lot of stitches (4 or more crossed over) are going to gap a little more than crossing 2 sts because of there being so many sts. Also if you knit tight, this tends to make them pull more and create a larger gap. Knit with a larger needle overall, or just on the row before and the crossover row and that may help.
sue- knitting heretic