The smaller-sized allen wrenches need more maintenance than the larger ones. You can more easily strip the head on a small allen key if you're not careful. So be sure that the hex bolt is clean before you insert the allen wrench and that you've inserted it with all six sides properly aligned [source: Morgan].
Also, if you buy a cheaper set of allen wrenches, the small ones may not be so precise in their measurements, which means they won't work as well (or eventually at all) within their size bolts. Substituting sizes is never recommended, as doing so can lead to a stripped screw head.