No I am not using a cover or case of any type and no my fingers are not too long. Since my original post starting this thread and several redonkulous replies later I still love the phone but....
The proximity sensor on ip4 is either much different than the previous 3 or mine is somewhat overly sensitive or just a hair out of wack.
1 - The screen is slow to turn off as I bring it close to my face.
2 - The screen activates much to easily while still in use and pressed against my ear.
3- 20 hours later I continue to have the same issues
It may be a software bug with iOS4 and the way it is interacting with the proximity sensor on the new iPhone's, but it could also be a bad sensor on your phone.
So call Apple's customer service line and have them overnight you a new one, or make a Genius Bar appointment and have them replace your phone for a new one. That's one of the great things about owning an iPhone -- it's so damned easy to get it replaced for a new one.