I always wear pantyhose and when I'm wearing my pumps I get the little heel pad inserts that go in the back of my pumps and they fill in the gap tight enough to where my feet don't slip out. They work pretty well and don't rip my hose.
There are some neat little stick-ons you can put in the heel of your shoe that have a corduroy type of texture that will tighten up the heels a bit and keep the shoes from slipping.
Don't wear pantyhose, you get crucified for things like that in California!