Hi
I share your small ear issue and problem of headphones staying in. My current pair are the best I have had - excellent sound and they stay in! They are not the cheapest , but bargaIns can be had.
I use Bose IE2 - they are 'in-ear' phones, but they come with different sized silicon buds and the small are perfect On the hgh street they are around £80, but I got mine brand new on EBay for £35. Two years on they are still going and I'd definitely buy them again.