I read all of your comment and I think I found the issue. I always have a TWR of 2 or higher so the prograde marker stay higher than the nose of my rocket.
When I launch a rocket I wait until 100 m/s and I start to turn to about 10 degrees. When I hit 12000 m I'm about 70 degrees.
It's funny because I bought the game in April 2013 (yes I'm going to have the Making History Expansion for free !!) and I'm still not capable of making an efficient LKO. My rockets have always way more Delta-V than they should because none of my manoeuver are efficient. I can go every where but I know that my efficiency is not efficient I don't have much knowledge on how to do certain type of manoeuver (Gravity Turn, Sucide Burn etc...)