I had to recompile PHP to get it to work. I was jumping from 0.8.6j all the way to 0.8.7d on an old RHEL 4 install in this case, but I had the same problem on a CentOS 5 box. I think PHP had previously been installed from source on the RHEL box; it's something I inherited rather than built myself.
In the ./configure step building PHP, append --enable-sockets to whatever your ./configure command line was before.
I found out what the config used was by creating a file called phpinfo.php in Apache's root directory. The contents of that file consist of:
<?php phpinfo(); ?>
Then go to the URL http://yourserver/phpinfo.php
and it should tell you up at the top what the config string was.