When I used the ER-4P with both tri-flanges (for about two minutes before it started killing my ears) and Shure olives, they were seated quite deeply and did not stick out far at all.
When used with the default Ety gray foams, they did tend to stick out quite a bit. I also noticed that the default orange foams that come with the ER-6i also tend to make them stick out quite far, while the triflanges and Shure tips do not.
Regarding the sound of the 6i vs. the 4P; the 4P is a great deal clearer and more detailed and has a much nicer midrange. However, they are also far more sibilant and emphasized on the high frequencies. Some albums I own are completely unlistenable on the 4P, such as anything by Arcturus and After Forever. The sibilance is painful. These albums were fine on the 6i, and not incidentally the HF2/HF5 as well.
In my opinion I find the HF5 to be the best sounding Ety earphones. They are more suited to all-around use than the 4P/4S and not quite so finicky about what's put through them. They are not as detailed, having detail on par with or slightly better than the 6i, but they are also not as sibilant and harsh as the 4P/4S can be on the "wrong" kinds of music.
Beyond sound quality, the HF5 are also much more practical for portable use than either the 4 or the 6. The cable is far shorter (only 48", which is perfect for portable use) and vastly lighter and less microphonic. It also has no giant "pod" at the Y-split like the 4P and 4S has. I am mildly annoyed that they do not have a right-angle connector, but it's less of a problem with a DAP that has the headphone out on the bottom, rather than the top or the side.
After using all three Etymotic earphones, and having problems with the 4 and 6 ranging from sound issues to usability issues, I am truly happy with the HF5s. It is a bit of a shame that Etymotic couldn't keep the detail of the 4P while also removing that awful sibilance.