I have fine hair (barrettes have been known to slip out), and I've found the ones that http://craftycelts.com/hair/lightpins.html

sell work, because they're not smooth. The ridges help catch the hair.

Actually as long as the stick is somewhat rougher, it works alright. It also works better when you're hair is dirtier...which is when I'm more likely to put mine up out of the way anyhow.