I found the duct tape response obnoxious enough to chime in. The purpose of these boards is to help one another. Dishing and non-answers are absolutely no help.
The "new" ear buds provided by Apple with iPhones, iPods et al, are extremely wonderful to listen through but, alas, quite painful (for me) to use. The edges catch the inside of my ear and scrape them a bit and they fall out constantly which makes me push them in repeatedly thereby exacerbating the scraping.
But I found a solution that works VERY well. I had a collection of scratch guards in a drawer and it turns out the small, thin, green felt ones were EXCELLENT for providing a buffer for the ear AND making them stay.
You can find them at Amazon and Ebay under a number of names. I thought "Green Felt Dots" would work best under a search.
Here is a link to one type: http://www.ebay.com/itm/like/250947631365?lpid=82&chn=ps but be advised there are quite a few.
If you want to see them first, I recommend Michaels, Walmart, Walgreen or possibly CVS.
And yes, I do have blue tooth over the ear pads that work as well as the ear buds which absolutely solved that problem.
Best,
Nathan