@Obsydian: If you gently place them in your ears and rotate them anti-clockwise then they should sit comfortably, and feel snug. For further information, please check out the link below.
I've had this happen a few times and the last time I couldn't get it out. As I live on my own I have no one else to help remove it. I then resorted to glueing the tips onto the pros themselves. I've since purchased the Buds 2 and the tips definitely seem to fit tighter than the Pros ever did.