You're not doing anything wrong. Static happens. When folks switch from dryer SHEETS or fabric softener to dryer BALLS, there is definitely a need to adjust expectations. Static is caused by so many factors - barometric pressure, weather, combination of fabrics in any given laundry load (synthetics? naturals? both together?), and also by overdrying laundry. Watch out for this one once you start using your dryer balls - your clothes will be done drying sooner!)
Dryer sheets work by releasing a number of chemicals into the dryer. Some coat your laundry with a substance to make it feel soft - others give it a strong scent. Additionally, they create an atmosphere in the dryer where static is UNABLE TO FORM Dryer balls, however, work very differently. Used in the right proportion of balls-to-laundry, they'll reduce static - but might not be able to eliminate it entirely.
We have heard over the years that some folks put a tin foil ball in the dryer with their dryer balls, and that this helps reduce static even further. Others swear by adding vinegar to their rinse cycle (imagine being on-top-of-things - enough to catch the rinse cycle as it begins! Heroes!) We haven't tried those things, because we just don't worry about static all that much. Sometimes it's there, sometimes not. If you try something that works (besides a dryer sheet, of course!) let us know and we'll add it here!