UK Double-knit yarn is too thin - double up yarns or use chunky.
Here in the UK double-knit yarn is normally knitted on 4mm needles and results in a loose floppy square when knitted on 6mm needles (I didn't get so far as actually knitting a whole square as it was clear from the outset that the yarn was too thin.
SOLUTION, if you have lots of DK yarn to spare knit it at the same time as a 4 ply or sock yarn (holding both yarns together). It sounds complex but it's really easy and you can get lovely tweedy effects. OR Knit with ARAN weight or chunky (not too chunky though).