I always dip my sushi in a little bit of soy sauce/rice vinegar mix - or, depending on the sushi, a bit of sesame oil and salt - but I had the same problem as you where the rolls were opening up.
I started making a smaller amount of whatever my chosen dipping sauce was and putting a thin film of it on the edge of the nori where they connected (think like rolling a cigarette - you're making a kind of gummed edge). This works great, and I've replaced the sauce entirely with just this sticky-mix. I'm still getting the flavor but not eating as much sodium via the soy sauce and my rolls are staying together nicely.
If you don't want to do it with sauce, you could use a bit of water in similar fashion and I think that would work equally well.