It sounds like you're having issues with target devices having a higher pixel density, or PPI, than your monitor. It's a confusing topic but there are a few things to keep in mind and a few options to help.
Basically, we design for the screen at 72dpi because there are 72 "points" in an inch. This makes 1pt in your document equal to 1 "pixel", theoretically. Unfortunately most screens nowadays are 96 or higher pixels per inch, so working at 72 dpi is mostly helpful only for specifying pixel based type sizes.
The reason it's hard to estimate a design for an iPhone 4 or other high resolution device is that the design will appear literally 2-3 times smaller than it does on your monitor. Regardless, when designing for the screen changing dpi (dots per inch...for printing) in your document has no effect on anything but point size ("a pixel is a pixel"). You can never change PPI on a document.
Now, with that understood, there are a couple ways to be able to preview what you're making at the actual target size:
- export images and view them in the device if possible (guess and check)
- if designing for iphone and you have one, liveview is indispensable
- if you don't have the target device, But you know the resolution, you can set that as the dpi in your document and try printing to get an approximate mockup of actual screen size
- the most low tech method is zooming out to the target size in your document window...this can be a good quick check for button and icon sizes
Hope that helps!