The trick is to keep the water in the bottom of the double-boiler from boiling or reaching too high a temperature. Egg yolks start to curdle at about 150 degrees Fahrenheit, but it's not easy to tell when the water is so hot that the temperature of the sauce mixture hits 150.
I stumbled on this recipe for Béarnaise sauce, which suggests doing the following:
The second that the yolk mixture begins to thicken slightly, remove the top of the double boiler from above the hot water and continue whisking. Turn off the heat. Add four ice cubes to the bottom of the double boiler to cool the hot water a little.I've never seen a Béarnaise recipe before that suggested the ice cube idea. I may try that next time.