I tuck the elastic strap of the HRM under the back of my bra. It seems to hold it in place.
As for the chaffing question I posted earlier- I purchased Bodyglide for a quickfix and it's great. It's not slimy like vaseline and it really does the trick. You can get it at triandrun.co.uk (or .com, can't remember). Anyway, I brought that up here because HRMs can be pretty brutal on your skin. Great- you go through all the trouble of finding the perfect bra and then mess it all up with a HRM.
I also saw a strapless HRM advertised, I can't remember what it was called, but I think I saw it in a triathalon magazine (no, I'm not into tris, I was just bored at Borders and started reading the mag for fun)