Annagybe, I have those too. You will find they stick better to the feet because being thicker, it leaves less room between your feet and the shoe for them to move around and slip out.
However, they tend to get hot, and precisely because they leave less room inside the shoe, they could make the shoe tighter (sometimes, with some shoes, and depending on the weather).
All nylon ones are not equal. I have found that:
The low cut ones tend to slip out of the feet inside the shoe easier than others.
Some of them contain cotton which helps greatly towards the slipping-out problem. Too much cotton is not good though.
A silicone grip also helps greatly.
Here are some by C. K. that have worked for me.
http://www.essentialapparel.co.....D=popshops
More $$$ but cheaper in the long run, pun intended.