The main reason ZSphere models don't end up how you intend them when they are converted to geometry is because of incorrect settings in the TOOL>ADAPTIVE SKIN panel.
The example below shows how a ZSphere hip setup can look when the adaptive parameters are changed. The secret is to keep viewing your model as geometry using the ADAPTIVE PREVIEW button (Keyboard `A`) and adjusting the settings to your needs as you build the ZSphere figure.
The buttons are:
Sets the level of subdivision in for the model when converted to geometry
Sets how many child ZSpheres can sprout before converting to high res.
Set how much skin with be used between ZSpheres.
MINIMAL SKIN TO CHILD:
Helps with V shaped intersections
MINIMAL SKIN TO PARENT:
Helps create more continuous curves
Hope that helps a little.