The finest needle I know of is a 42 as well. I found a place where you can get a 40 but with the barbs concentrated at the end of the needle, which is great for detailing.http://www.cobwebcottage.co.nz/Supplies.html#Felting_Needles
As mentioned above, move your piece around. If I am needle felting an ear (which is flat) I make sure I peel the ear off often and needle both sides to wrangle the loose fibres. And do work at an angle, but always in and out at the same angle so you don't bend the needle tip.
I always lay a piece of craft felt (one of those squares you get at craft stores) on my foam (mainly to protect the foam pad) but I still get stray fibres in the felt. Its the nature of the art. So just keep peeling your piece off. It will take practice, but you'll get the hang of it.
I often roll roving, but I make sure I roll it as tight as possible. It will be loose, but it just helps the process a little; you will still need to needle felt it quite well.
Try YouTube and search needle felting. Often someone has uploaded a video as a how to, they may give you some tips.