I use a set of Westone UM3X IEM's and I've personally found the foam tips don't work well for my ears, thought they may work for a majority of people. I have very different sized ear cannals, and the tips which work best for me are triple flange silicone tips. You can even trim the last flange off with a sharp knife to get a better fit.
Westone has ear-tip kit you can order if you want to try out several options, though you can probably find most of them on Amazon as well for cheaper.
If none of the recommended options are working, you can visit 1964ears.com. They can get you some custom tips that are molded to your ears. You'll have to visit an audiologist to take the mold, but the fit would be much better than the foam tips. They can even take your IEM and bury it in the silicone fitting. The putty link posted above is cool, but if you have an IEM with a removable cable like mine, it takes away a key featur of the IEM.
You can also check out head-fi.org. They have a LOT of information on IEM's, but you'll have to put your audiophile filter on and throw out about half of what they say over there.
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