I've never had them fall out. Ever. As you can see from the picture, they're fairly shaped.
They do come in several sizes though. I'm a small guy, so I have the small size.
Be warned the 'Medium Small' size is not a halfway point between 'Medium' and 'Small'. They're actually smaller than 'Small'.
They're musicians earplugs, so I suggest finding a music store which stocks them. Then you'll be able to better judge which size to buy. They might even have a copy of the sizing chart. I got mine from a drum store.
30/7 King Diamond
1-2/8 BiesenRock Festival
3/8 Lokerse Festival
16/9 Richie Kotzen