Just to clarify, I assume you are using the Import/Export module, NOT Dataflow. If you have been using Dataflow please try the same process with Import/Export module and see if your results improve.
This is definitely standard functionality - please see my linked CSV export from a fresh install of Magento CE 126.96.36.199 with sample data installed. Do a search for small_image and you'll find the correct columns:
image_label, small_image, small_image_label, thumbnail, thumbnail_label
There are also these columns for controlling the media gallery:
media_gallery, _media_attribute_id, _media_image, _media_lable, _media_position, _media_is_disabled
The Magento import/export is tricky, there's no two ways about it. There's basically no documentation and some quirks/bugs that can cause unexpected results. Everyone who knows how to use Mage_ImportExport has most likely spent hours crying into their keyboards at some stage.
That being said, it does work and it does work well once you know the tricks. If you could post your CSV here and maybe tell us if you've made any customisations to your Magento installation then the community will be able to better assist you.
Also, make sure you are not ticking any of the attribute 'skip' checkboxes when you are performing your export.