You can bend the outer legs out slightly to give them a little more "spring", but otherwise they're going to be prone to fall out.
It really defeats the purpose of socketing, but if you socketed for the sake of swapping transistors you can solder them to the socket once you find a set you're happy with.
Yeah I usually solder a leg or two after I'm sure it's the one I want to use, but I often don't socket if I'm confident in the part choice/part authenticity at the beginning.
After having a hell of a time getting the transistors to stay in the sockets, even with tinning, I'd still have issues with connectivity, so I just solder them these days. I make sure to keep most of the legs intact
The compromise might be to tin the leads for the transistor to get a tighter fit in the socket, and solder one of them to the socket so it could be easily removed it you wanted to swap it later.