I have tried a number of butt plugs and all with the same effect. I have no worries about loosing them because I am always pushing them back out. They go in fine but I have to hold them in. I have read about people wearing them when out and about, or over night but this would never happen for me. I've tried wearing one during sex but it always keeps popping out. I can't help imagining managing to keep it in until climax and then fireing it across the room when I cum.
Perhaps the size you are using is to slimline for you? Have you been using them for long and has that always been the case? Perhaps try using one size up, with a slightly wider bulb at the bottom. Might help stopping it from popping out. ;)
Look for plugs with a narrow neck and a bigger base. I also have this problem with them being pushed out.
There are also anal beads you can explore with too. I use these http://www.lovehoney.co.uk/product.cfm?p=24636 and they've not slipped out! I'm in between whether I prefer beads or plugs myself.
I also have this and it always stays put. I've worn it all day whilst out, and about and it stays in when I orgasm, I do tend to push a few of them out at that point x
I have this issue too, but recently got the we-vibe dusk, which is a butt plug attachment for the we-vibe tango bullet vibrator. It's got a really long and narrow neck and a larger bulbous plug, and I also find it the most comfortable. I think having a decent length of neck that's a lot narrower than the widest point of the plug would do the trick.
As we started with a very slim buttplug, she would often push it out when having a vaginal orgasm. It's definately the 'neck' that makes the difference. If it's about the same size as the bulb then it's more likely to happen.