Mine stay put best under a pair of tight, long men's shorts. For my women's shorts (which hike up a little higher than I'd like), I have to pull the warmers up REALLY high, so when they slip some they still wind up caught by the shorts.

Also, think about how tight you're stretching them. If there isn't a little extra fabric over your knees, then after a while of bending they can work themselves down (usually too tight in the calf to work themselves up plus that whole gravity thing). Don't pull them tight like stockings because they aren't THAT stretchy usually. I hope that made sense. Seems to work well for me.