I have long, narrow feet (thanks, Dad! *grr*) and I have the exact same problem with most shoes. These days, I will tend towards only buying shoes that have an ankle strap or something across the top of the foot to hold them on (I'm almost upset that gladiator sandals are on their way out because they were great for me!), or if I won't be wearing them often/for long periods of time I might buy them a half-size smaller for that extra little bit of grip.
Then recently I found some clear inserts that you slip into the heel of your shoe, they have adhesive on the backs so they stick in there, and they just provide that bit more grip for you so you don't essentially 'step out' of your shoe every time you go to take a step. I found them at Cosmetics Plus for about $6, I'm sure you would find similar things in plenty of other outlets or on the net.

Hope that helps