I've not had that problem with my sets when I've been swimming or at the beach, but One thing I do do though is careful press it after getting out if water. I find the water can loosen it a bit but if I press it back on while it's still damp, it sticks back down. I also dry it off between swims as I think that helps too. I did have one that kind of curled slightly at the edges but it stayed on ok until my next set change. I was careful with it though.
What sets are you using?