Another thing I have always found immensly useful in students that have a hard time with their heels is backwards stirrups.
However, in order to practice this, you need to have english stirrup irons, the clunky western one will not due. Following all the excllent advice already given here, (WCR and Runamuk took the words right out of my mental mouth) give yourself about 15 min with your Heels in first in the stirrups.
(Not toe first like you would normally do, literally back your heel into the iron as if they were on normally, but now your toe is sticking out farther then it would normally.)
When you do this, if you lift your heels, your stirrup comes Right off. However if you keep your heels down, they will stay on wonderfully.
You will find that this particular way of body training will Force you to stay in a balance position with your leg well underneath your hip/shoulder, etc.
You will also find that your thighs burn tremendously after a short period of time. (Brings out beautiful definition though)
Don't push it with your legs yet, but as your build up, you can eventually go quite a time like this. I start out most of my students in this fashion and find that with in a month of 2 hour lessons a week their heels pretty much stay put, and they only need occasional reminders. Since you are blessed with your own, it should be a matter of weeks if you are diligent!! :aktion033: