If your having trouble holding it in, you can get some thinnish rope and make a harness out of the rope that would hold it in.

First, find the middle of the rope. Hold it in the middle and run both ends around your body between the belly button and your crotch. Tuck the ends through the loop, and run it back around the other way and tuck it again. Then take the loose ends, run it down between your legs, either between the lips or around them, depending on how much stimulation you want, between the cheeks, and up to the loops. Then just tie it off with any sort of knot to the rope in back. That should do a good job of holding the plug in, and with small enough rope can be worn under a good deal of clothing.