As is well-known, the Sony MDR-EX800ST has a terrible, no-good, really awful cable, which, of course, uses proprietary connectors. After a week of constantly adjusting these very satisfying IEMs, I ordered some DIY connectors from the only known source. I also tried some surgery to fix the original cable which left the earphones useless.
The connectors finally came and I realized that I had put the earphones in one of those safe places that are too safe. I couldn't even make the cable while I looked for them, as I didn't know which side of the tiny wafer you get to solder to was positive and which was ground.
Finally found them. Didn't want to make a cable and cannibalized a no-name MMCX I had acquired. Multimeter went beep, I soldered nervously, the right side connector housing needed a bit of glue to keep it together, and then . . .
my best-sounding IEMs became comfy. Super comfy. Comfy and secure and I don't adjust them at all during my entire 45 minute, dog-walking, train taking, bag-carrying commute. I bought an extra set of connectors, so eventually I'll try making a nicer cable, but it has been pure pleasure with the current setup.
Where did you get the cable? I have the same problem. These are amazing but they do have the tendency to slip and loose the seal.