I haven't had much problems with liquidity trading the dollar index. By nature, I tend to trade the front months where most of the open interest is heavy. From Pivot to Pivot the swings are strong.
However, my interest in Forex is increasing mainly due to the leverage versus the Futures...
I trade the dollar in the Futures market. It's been alittle thin this year as the dollar has rallied (bear market correction). Open interest picks up as fund managers move back in. I use a 10-day mov avg on Open Interest.
But any case, your'e right and thats why my interest is growing for Forex.