If they are falling out because they are too loose, put a donut foam on top of the regular foam. If they are falling out because they are not fitted into your ear securely, make sure you have tucked as much as you can of the shell under the tragus and then pull down a bit on the stem to secure it angled in the intertragic notch area I make sure that the stem is not just sticking out of my ear but resting against my face. There are other shell types to consider if you keep having a problem.
It will be more difficult if you do not have much of a tragus or antitragus as those hold it in place.
To keep a bit on topic for the KZ thread, the shape and size of the concha will determine how well certain models of KZs will fit.