craftgrrl | Knifty Knitter question

I just got a Knifty Knitter and am stoked about whipping off some hats for last minute christmas gifts. I just finished my first adult hat - it only took me about 2 hours (pretty good seeing regular garter stitch with needles takes me forever). While it looks and fits like a hat, there are pretty large gaps/holes in between the rows of stitches. So when I put it on and the hat stretches, you can see hair through the gaps running all the way down the rows. The brim is fine as it is doubled over...but the rest of the hat likes cheap and drafty. (Hope that is understandable without having to post a picture.)

I thought I was using it correctly but now I am not sure. From other people's hat pictures, it doesn't appear that they have gaps. I used 2 strands of 4-ply yarn...is the secret to use thicker yarn? Am I not pulling tight enough? Did I just screw up?

Thanks and hope everyone has a terrific holiday season!