Believe it or not, a little hairspray is what is recommended. Spay it on the grip, slide it on, and let it dry overnight. I tried it with my Sig, and I don't think I've ever experienced any issues with it slipping around.
Realize that after quite a bit of extended use, they may lose their tightness or get sloppy around the edges in which case replacing them is not a big deal. I've had good luck with the one on my Sig and I've never had to replace it.