Many woman, including myself, have the problem of them not staying in, however if they are not comfy it could be because you have not put them in as far as they can go. When you insert the applicator, do so until it is almost all the way inside where your fingers holding the grip part are nearly touching you. Push the tampon applicator all the way in to ensure it is in far enough. You should not be able to feel anything. If it feels fine at first and then begins to be uncomfortable again then it is likely that it is slipping down and that maybe you are no longer built to maintain them. This is very common. I just found that changing them more often than before helps.
Be careful, since there is nothing more uncomfortable than pulling out a nearly dry tampon.
Funny note: My girlfriends and I call tampons plugs. Kinda so no one would know exactly what we were talking about if we were ever discussing them or our period especially around guys.
Mommy of Julia, Grace and our brand new son Benjamin!