Definitely thicker, but not a problem on the heel. I haven't tried the toe. I agree with you that it might be a bit awkward, but sock yarn is pretty thin, so it might be OK. I was using fingering weight and size 1 needles, so it's all relative as far as thickness goes.
Do you do socks from the toe or the leg? I just ordered some toe up books from the Knit Picks sale, but haven't gotten them yet. If you do toe up you could always try doubling the yarn and see how thick it is before you get the whole sock done.