My steamed milk has always lacked the fine texture of my local coffee shop's. For ages, I've wondered why this has been the case. Using a two hole tip on my espresso machine's steam wand (which reduces steam pressure and exposure to heat), I had achieved some success, but it had felt like cheating (most commercial establishments customarily use a four hole tip). Moreover, my two hole tip did not fit my steam wand as precisely as I would have liked. Due to the inexact fit, steam tended to seep out of the area where the steam wand and tip meet. This, in turn, would destroy an otherwise decent frothing session.
Two months ago, I turned to a four hole tip that could snuggly fit my steam arm. Unfortunately, what ensued could only be described as a 'milk grenade.' Milk would heat up so quickly that it would eventually explode, taking my T-shirt as a casualty. It took me a while to get acclimated to the added steam power of a four hole tip. Eventually, I was able to avoid the point of explosion, but my milk would always end up like dishwashing suds. Sometimes, I'd get small to medium bubbles, but never the imperceptible microfoam sheen found in reputable espresso establishments.
Three days ago, however, I figured it out. The key was positioning the steam tip in just the right spot and holding the frothing pitcher in a more precise way. Most articles I had read spoke of stretching the milk and then sinking the wand deep into the milk. This doesn't work well with a four hole tip. The steam tip should be placed just under the surface of the milk. This should be done in such a way as to create a whirl-pool effect (I'm sure you've seen the youtube videos). Moreover, the pitcher should be held level and SHOULD NOT MOVE AT ALL. The milk may sound and look distressed at first, but after about 15 seconds, you'll get that beautiful glossy wet paint appearance.
To recap, set it (your steam wand tip, that is) and forget it.