How can I jog with headphones in my ears?

Ok, here’s the thing. I see people jogging all the time and most of the time they are wearing ear-bud style headphones so that they can listen to music while they go. Whenever I try to jog with headphones in my ears, they are just a hassle. They keep falling out of my ears. They stay perfectly fine in my ears as long as I am not running/jogging. So, my question is: Does this happen to you too? and, Can I do anything about it?