Allison, the secret to making confections with splenda is to combine it with other sweeteners, especially when working with chocolate. When you combine it with other sweeteners a phenomenon called synergy occurs. The sweetness becomes magnified. Not only do you use a lot less sweetener and save money, the aftertastes of the sweeteners are a lot less noticeable. In other words, if you're only using splenda by itself, you're not only sacrificing quality, your throwing money down the drain.
What sweeteners have a good synergy with splenda? Well... sugar alcohols do, although a lot of people are sensitive to those and become laxative. The exception to this is erythritol. Erythritol is almost non glycemic, extremely low carb and non laxating. The one catch is that it's costly/hard to find. You don't need much of it for synergy, though.
The more sweeteners you can get into the picture, the more synergy occurs, the better. Besides combining splenda with erythritol, there's a few more sweeteners out there that have a great synergy with splenda. Sweet One brand ace k works wonderfully with splenda, is very inexpensive and is heat tolerant. Many Kroger supermarkets carry it.
Stevia is another popular choice for combining with splenda, although it's expensive and there's quite a few crummy brands of stevia out there.
As far as providing the missing texture from sugar, as Goodweed mentioned, you can use sugar alcohols. In recent months, though, a new product has become available for the home cook that provides similar results - polydextrose. Polydextrose is 90% fiber (with all the associated health benefits) non laxating, extremely low carb/calorie, non glycemic and mirrors the textural qualities of sugar/corn syrup. I've been baking with it a while now and it's amazing stuff. It's only 10% as sweet as sugar, so you have to combine it with other sweeteners, but the results have been wonderful.