did you attach all the pieces into one poly object and merge the vertices as well?

another thing to think about is that converting to sub-d is an awful lot like smoothing (well to me, anyway). so if you want to keep a hard edge you'll either have to add them later or keep them in mind while modeling the original poly plane (for example, 3 edges close together will make a better crease than just two, and only one edge will just make a smooth transition between the closest two edges).