My children don't like the fat pencils, either -- though we haven't tried the triangular ones.
I did some research a while back, and there seems to be a wide range of opinions as to which type is best. Some programs, such as "Handwriting Without Tears," recommend using the little golf pencils. These are sold at office supply stores, for about $7/box of 144. They don't have erasers, which is supposed to be better for Kindergarteners anyway. (They don't really need them yet, and they sometimes get hung up on erasing everything that's not "perfect.")