Are you using a Mac or Windows?
If using Mac, you will have to create an "Aggregate MIDI Device" in your "Audio MIDI Settings" App. Or you can download a nice little App from these forums called "CDJ Aggregator" which will automatically create an aggregate device when multiple players are connected.
Then in Virtual DJ you will need to select the new aggregated device as your source. Then things should work smoothly and you might want to make a few tweeks here and there.
Windows, I think it should be okay to plug in, assign in VD, and you're good to go. That's what I've read and heard, but I've never worked with Wondows and CDJ's.