QuietMorning, I was impressed with that also (that they never seem to fall off), then I discovered how...usually they are wearing a cap-type underscarf that ties at the back of the neck, then the flowing/longer part of the hijab is pinned to that in strategic places. No slipping! That seems to have been the way in the past as well...when you look at a lot of the icons of women saints, there is a distinct under-covering on their heads besides the long veil on the outside.
I actually find the hijab beautiful as headcoverings go, and have ordered a few scarves from a website in Britain that sells really soft, quality scarves. I find the covering the neck to be quite comfortable, particularly in cold weather. It really isn't that different from the way my matushka and many other Orthodox women I've seen wear their scarves....placing a long, narrow one over the head, tying it loosely around the neck in front then wearing the ends towards the back.