I am using four dpns (well, five). What you do is begin with a round of A, join B, knit three needles with B, drop B, pick up A, knit two--that's two, not three--needles with A, and continue knitting two needles with each color, dropping one and picking up the other. This is explained in the Helical Stripes, Using Double-Pointed Needles section of the Year of Techniques instructions; it's on page 3.
It seems counter-intuitive. But imagine your four needles as a square, with needle 1 at the bottom. You've knit your round with A and are at the end of needle 4. You join B at needle 1 and knit three needles, bringing you to the end of needle 3. Then you join A not at the beginning of 4, which would create ordinary stripes, but at the beginning of 1, skipping 4 to create helical stripes. Now knit needles 1 and 2 with A. Your A yarn is at the end of 2, and your B yarn, as you remember, is at the end of needle 3. You skip needle 3 and pick up and knit needles 4 and 1 with B. Continue knitting two needles, skipping a needle, and picking up and knitting two needles with the next color. This is what I'm doing, and this is the result.