Maybe try a better quality sports tape?

I am a volunteer sports trainer and first aider, and I often get asked to tape knees/ankles/shoulders, etc... And I have come across a lot of crappy tape out there! Poor quality tape will tend to come off your leg even with movement, let alone if you throw some sweat into the mix! Particularly if you apply it right before you exercise or if your leg is already sweating.

I find it is best to apply the tape ahead of time, giving it time to fix to your leg, ensuring that you do this when your leg is clean and dry. The best tape (for a reasonable price) that I have found is Elastoplast. Now I don't know whether you guys can get it in America because I have a feeling it may be Australian, but this is the type of stuff that might work.

http://www.elastoplastsport.com.au/

Hope this helps!