Well I'm no expert, I got my first IEM's (ER6i's) about a year and a half ago, and just ordered a pair of MC3's. Here's a few tips from what I know or have heard.
MC3's are not known for a lot of bass. You can try using bass boost on your player, and also making sure that your digital files are pretty high quality. I could definitely hear the difference of music quality in my digital music when I started using the Er6i's, so it's possible that that's what you are hearing.
Some people have said that the MC3's get better over time, so maybe try burning them in (there are tons of threads about that). The footsteps thing- do you use the clip? That helps. I have never figured out a way to completely avoid it.
I have used the Comply tips, and they were more comfortable than any of the tips that came with the phones, including the Ety foam tips. If you want sound quality and isolation though, the flange tips are the way to go.
Like I said, I'm no expert, but I hope this helps a little. Good luck!