I wouldn't recommend using CIEMs at the gym, you could wreck them.
If it's just running, you can get an over ear IEM and it should stay in. The SE215s stay in very well and they have never fallen out for me.
Crap, that's almost $100 AUD for a plug
A cheaper priced carbon fibre plug would be more than welcome. I think the acrolink ones look rather nice, but they are a little fat. I would prefer something Oyaide or Viablue sized.