Headphones

Not sure you have realised this but the ER2XR is a 'deep insert' iem, which means that it has to go right inside your head, not just seal against your ear. (They won't sound right without doing this too) I think etymotic has a video showing how to insert them properly somewhere.

Sorta gotta get them to look more like this

If you try that and they still don't seal properly then you most likely have giant ear canals (or are still doing it wrong). Etymotic sells foam eartips which should fit a bit better and I think spinfit also makes a few eartips that fit them.