They never stay in properly do they? Well for me at least when they are not so big that falling out is the least of my problem.
I found that if I use as little lube as possible and (I know one shouldn't) not actual lube but some body lotion that will be absorbed to some degree, that tends to give me the best chance at keeping it in. When my Master used to insert it he'd use tons of lube and wouldn't stay in for a second without me holding it.

I also find that a g-string (not a cute girly one but a normal, well fitting, cotton one), when you pull the string tight, helps it stay in well.

The longest I have worn one was about 6 hours - but I sat most of the time. I had to walk past my house-mates quite a bit though and talk to them and stuff. But there is something rather nice about feeling 'dirty' like that.