It took me a long time before figured out how to wear these Klipsch X7i earphones properly. I think it's not about the size of the tips, and it's not about how deep you push them into your ears; it's about how to position them into your ears: they have to enter from the bottom of your ear canal and stay there, following the angle of the earphones themselves it's actually pretty easy and natural to do so, you will not have to push them hard or use the biggest size of the tips at all. When they fit, you will feel the lower part of your ear canal kind of full indicating they are in position. And when they are in position, they should feel very comfortable and they will seal the sound pretty good as well, and more important you will hear their sound quality better. Now I can hear their real sound quality, man, they are good, really good, I feel I am in a recording studio!
Another trick I learn is to use the collar clip to secure the cable on my T-shirt, just right below where the mic and button remote locates. Now even if I move my head often, they will still stay and I can wear them for long hours without problems.
P.S. my source is RDIO from iPhone 4S, the best music stream service, highly recommend!