Always have. Shure recommends that method. I just ordered a pair of JH Audio custom molded IEMs and that's how theirs are made. With regular earphones they stay in my ears better.
Some higher end IEMs actually are designed only for that style. It has numerous advantages like better reduction in micro phonics, staying in place better, and, to some, comfort.
That's the only way I could ever get them to stay in Then I bought some big chunky headphones because even then they'd occasionally fall out if I moved around too much