I bring about 4 or 5 wooden clothespins. You can hang them over your shower rod in the bathroom (clip one of the straps over the rod and secure with the clothespin), and they don't fall off as easily.
I use my clothespins for lots of stuff - one of the best tips is to clip your drapes closed with them, since there's almost always a gap, even when they're closed, and the sun shines through.