I know, stupid question, but I tried pinching them on with my pliers and they still came off! The only thing I can think of that could be causing my problems is poor casting technique. Any suggestions?
I typically attach my shot to the tags ends of the triple surgeons knot that join the final tippet section as I taper down to the fly. If you attach the shot here it binds down on two strands of mono (or flouro) and usually stays put without issue. For larger shot I may tie a half hitch at the bottom of the tags to help stay on better. The advantage of attaching shot here is that you can quickly slide off shot if you are too heavy or trim the tags flush and switch to a dry fly without having to re-tie your final tippet section.
If you are losing shot all the time it might very well be the casting ... best advice is to slow down your casting stroke and let the rod do the work not your arm.
First off make a loop in the leader like you are going to tie an overhand knot place the open side of the shot on the over lap section. Close the shot so it traps the overlap and the loop is around back of the shot pull the leader above and below the shot to snug it up. Then pinch it with your forceps. This works so well you can use it as a stopper for multiple shots. It works even better with regular removable split shot with the ears to open it after you have closed it.
Thanks for all the replies and helpful advice! I love fly fishing, but it seems that every time I go out I expose holes in my game (I've only been fly fishing for a year). Some questions such as this one are hard to research and easier to just ask. Thanks again.
Use blackbird shot. It holds the line better than any other sinkers . I get mine at believe it or not Walmart and the Fishing Hole has them too. I use BB size 2and4. Every once in a while they might need to be repinched to keep them from sliding but they won't come off the line. I've been using them for 20 yrs. come in a great dispenser too.