Amy, are you using hexagonal dumbbells? I have a set of round dumbbells (Gold's Gym) and I can't use them for footwork like this because they just roll around. I think you need the hex version to do this, or use a board instead as Sandy pointed out...
One thing I did notice about lunges is that while I am average height (5'7), my legs are very long, so I had to play around with my form for a bit to find what worked for me. So you might want to try a couple of different foot placements, too.
Cheers,
Marie