Thanks for all the replies guys! I went back yesterday for the first time and used Skittl's suggestion of just taping them on until I think of a more elegant solution. Gee it felt good to be back!
Back on topic: I think a knee-gel pad user suggested dampening them before affixing them - it makes them "stick" a bit better.
Thanks Isk8NYC - I had tried that, but they still slipped down.
As far as the retention sleeve goes:
Actually they are marketed toward male skaters, probably boys rather than guys...
They might be marketed to men, but they used a skinny girl to model one, it cuts in even on her, and I can bet she's wearing the larger of the 2 sizes they offer!
http://www.skatingsafe.com/knee.html Scroll down for a pic of the model.
So because I'm not 10 years old and don't have the legs of a stick insect, I don't think their brand of retention sleeve is going to work.
Is it possible to DIY those sleeves somehow?
I'm hoping so. I go to the physio (PT for you?) for what I sincerely hope will be the last time tomorrow, and she said that she can get Tubigrip bandage in many diameters, right up to big enough to go around a pregnant woman's stomach. Now my legs are not skinny but I don't think they're that large! So my plan is to take my pads with me and see if she can sell me some tubigrip wide enough to go around my thighs and knees+pads without cutting in. If it's possible, I can get enough length to cover the pad twice, and develop AgnesNitt's suggestion of tucking the lower edges under, by putting the fold at the bottom and actually containing the pad within the fold. That might minimise sagging.
I'll report back on success or lack thereof.
Also while we are here, how do people keep hip pads and/or tailbone pads in place?
That ended up being a DIY solution for me as well. I used some offcuts of old nude colour fabric I had lying around to make a shaped case for each hip pad. I made sure the case was the shape of the pad plus a wide "tail" reaching up to my waist plus about 5" for folding over. I then used a piece of heavy duty non-roll 2" wide elastic as a waistband, and attached a clip to either end of the elastic to close the waistband (you could use velcro or buttons etc). Then I worked out where the pads have to sit relative to the hipbone, folded the tops of the "tails" over the waistband and sewed the "tails" to the band.
Took a bit of fiddling to get it right, but it works a treat. Easy to put on and take off, quite comfortable to wear, and no fiddling to get the pads into the right place. What's more, they stay put.