I use the silicone, too, as I've found it works best in my daughter's uber-thin hair. I bought and tried some precut foam strips intended just for clips, but I found that after a couple of weeks the clip compressed the foam a bit, and they stopped working as well (ie, they started slipping out of my daughter's hair again).
I get my silicone from the bathroom hardware section at Walmart. Can't remember the brand name, but it's a clear, waterproof silicone. I think there are a few different brands, and I'm sure they work equally as well, but I do suggest you get clear and not white!