You can buy this non-slip stuff, it's like a bumpy soft rubber mesh, from places like clark rubber (I've seen small packets at places like spotlight but depending on size of rug, they may not be big enough). You just cut it a tiny bit smaller than the rug, line it up and it pretty much stays stuck to the back of the rug. Easy peasy.
I bought a big roll of the stuff Marydean is talking about from the Reject Shop. Its like those little grip towel things you use to open jars. I just cut it to the size of the mat in the lounge room, put it under, dont even need to stick it, and it doesnt move an inch.
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