Get a small bowl that has some warm water and a few DROPS of dish detergent (not dishwasher detergent). Mix it up a bit. After you run a thin bead of caulk (and you can stop at ANY time), dip your finger in the caulk and run it gently over top of the bead. Keep a rag handy to wipe your finger EVERY time you lift it off the bead. DIP it every time BEFORE you run your finger on a bead.
The key is to lay a slightly-smaller bead than you'd like and use your finger to 'smooth' it out. Also, keeping the finger wet is key too. You see, the detergent in the water creates a 'barrier' between it and your finger, thus, preventing the caulk from sticking to your finger! Ta-DAAAAAA!