I usually wear a pair of regular socks and put the big wool ones on over those - don't know if that makes much of a difference, but I never have the falling sock problem. the wool socks I use are also really long - come almost up as high as the boot. They always stay up for me like they're a part of the boot.
I find it's very comfortable. Not just temperature wise - but the socks provide a good amount of cushion.
I do know what you mean though - smaller loose socks will do it - and it's a real pain.
Of course - it's also getting very hard to find those big thick wool socks.