1. Stay clear of kohl pencils, these are great for smudgy smokey looks but because they are really soft, they will move around.
2. If you are using a pencil always press a matching eyeshadow on top of it, this will dry up the creamy texture of the pencil meaning it will last longer.
3. Lancome make some great waterproof pencils or you could try a sealer over the top, Illamasqua, Benefit and Make up Forever do these.
4. Try a liquid liner, MAC make Liquid Last liners which really don't budge, if you want a softer finish with these, just go over with a powder eye shadow so it's not so sharp.
5. Pop your pencil liners in the fridge for about 5 minutes, this will help their staying power.