Hey, hawks need to eat too.

But, I agree, it can be a little frustrating to watch them go after the smaller songbirds. Do you have any good cover near your feeders? Scrubby bushes or small trees are best, also brush piles. Big trees don't help as much, since hawks will sit up high and simply "drop" onto the smaller birds.
Maybe if you can lure the less-desirable house sparrows into a feeder out in the open, the hawks might go after them instead of other native birds.
Other than this, I don't know what else you can do. Personally, I just let the hawks come by, but I do make sure that there is good coverso the smaller birds are more secure.