Whether using a ball winder or a nostepinne, be sure to wind it with no tension. If you use tension and leave it like that for a while, it will stretch out, and when you knit with it, it will provide the right gauge, but over the next few days, it'll go back to it's original length, and whatever you knitted with it will be looser and tighter in spots, and probably all a tighter gauge than it was when you knitted it.
If you're winding a ball by hand, you can hold the ball with your fingers around it, and wind over your fingers. When you pull your fingers out and wind in a different direction, it will loosen the yarn and you'll have a soft, squishy ball of yarn that isn't stretched out.