I've found the sock and pantyhose waistband method to work best, combined with taping the scrotum to the penis shaft to avoid the bits falling back out. I tape all the way to the tip, just leaving the end open for toilet purposes, which reduces the chance of getting skin squeezed. As an extra bonus it makes the thing less "squirmy" - the tape seems to have more friction against the sock, making it stay in place. I train aikido tucked, and after a training, it's still in place, at worst it loosens a bit so I have to adjust after training.
As a side note I've found silk tape to work best, it's kind to the skin, and stays in place but comes off easily without having to use hot water and so on.