I don't use them often but I don't have a problem with them falling out. I can't describe how I put them in but if you go to the Curlisto website and look at the videos, I clip pretty much like that. So instead of flat side of the clip resting directly on my scalp, I put it in sideways with the edge of the clip against my scalp.
There's another method which is almost like making a pincurl, shellynot did a video on it a while back, that I've also used and no problems with the clips falling out.
Shellynot thread