Susan, I never seem to be happy with my toes either, and that is why I resorted to making my socks toe up. They look lovely that way and you feel absolutely no seam. But I would probably say that the following way worked for best for me grafting the toe:

With an equal number of stitches on two dpns (usually 8), cut yarn, leaving about 12 inches length. Slip stitches onto a 3rd needle, alternating between stitches of one needle, then the other, until all stitches are on one needle.
Bind off: Using crochet hook, & beginning at end opposite yarn strand, pull 2nd stitch through 1st stitch, continuing across row, pulling yarn strand through last stitch. Pull to inside of sock, darn through a few stitches.
Split plies of yarn and weave each separately through several stitches.

Thanks Donna. Do you do that on the inside of the sock or the outside?

Hi - Go to google - type in mini knitting lessons. I think it will be second item that pops up. Open that and scroll down. It has pictures and tells you exactly how to graft a toe. I have knit dozens of socks and I always have to refer to that site to do the toes. Good luck.

Susan, I do that on the outside. You might want to make sure that your last row before binding off is a bit loose.

I use kitchener stitch this site has pictures along with the information for doing it.

Here is a link that might be useful: kitchener stitch

Thanks so much, everyone. I used the kitchener stich and it looks fantastic! I never thought I could make such a nice looking sock (now for the other one). I really appreciate the help.

I recently learned the kitchener stitch too (using the link zipper suggested). It's kind of fun once you learn it.