If you are hell-bent on using the slit foam type indicators, I have found that Fish Pimps use a rubber insert that tends to collapse and after a while it will deteriorate. The Lightening Strike brand football indicators use a different kind of rubber tube insert that holds much better and lasts longer. I normally twist the rubber insert along with the tippet within the indicator so that it holds tighter. Attaching them in this manner, I can't remember a LS indicator ever flying off.

Of course as of this season, I too have started using Thingamabobbers, they are great for bigger tippet. They seem to slip on 4x or smaller though. I have been playing around with using rubber bands to attach them more securely, but I have not come up with a decent solution yet.

Hope this helps.