Misophist is correct, following the directions for earplugs makes a difference. Not all plugs come with good directions.
Do this: Roll (don't squish) the plug between your thumb and forefinger into a tight cylinder. Hold the plug on the same side of your body as the ear for which the plug is destined. With your free hand reach over the top of your head and pull the top of your ear up as if you're an evil school teacher trying to move a student. You've straightened out the ear canal a bit, making it easier for the plug to do its job. Now insert the rolled plug into the canal.
Here's the critical bit. Keep a finger on the end of the plug while it expands in the ear canal. Plugs worn with half of them sticking out are doing little good.