Back when I had to all them years ago I would use sports strapping.
Its designed to stay put when men sweat, it held its self very well.
Make sure you shave!!!!!
It worked so well that it wasn't easy to get off, so look for a product named "Dissolve it".
http://www.rcr.com.au/desolvitI used to get it off by spraying some on, waiting a few minutes, then jumping in the shower, it'll slide off.
It can cost a bit of money in the long run, so look at buying it in bulk. I went to a sports club and asked where they got theres, the girl there said I can get it through her and pretty much never ran out, I wore it everyday from going full time to srs