PGK, let me help you. I workout every day with my ER-4P/S including weight training, biking, etc...Don't suffer with other crappier earphones, the solution is very easy. Both these first 2 "mods" will reduce/eliminate cord noise.
1. Wrap a black twistie tie around both cords that split off going up towards your ears. The kind of twistie tie that closes garbage bags or other stuff. Cut off the excess ends that are leftover. Wrap the tie somewhere in the vicinity of your lower neck area (height), or wherever feels comfortable.
2. After inserting both earphones, wrap the cord back around your ears Shure style. If the twistie tie is in the right spot, it will keep the cords pulled down and secured around your ears.
3. Buy the new Shure olive foamies (sleeves), med. are your safest bet if you have no idea what size you are. Just got these and they work great, will stay in your ears well and go in easy.
If you still struggle with keeping the cords wrapped around your ears, try wearing some type of hat or beanie cap (I use a beanie cap most of the time) and making it press down on the cords over your ears.