i used to use cotton wool, dyed black with some of the horse make up, simply insert in ear and shove down until you cant see it, trying to leave end nearest daylight a bit *fluffed up* so you can either grab between nails to extract or tweezer it out......i never lost one!!! just make sure each *plug* is only one ball of cotton wool so that bits dont get left behind!
You can get commercial ones, made of foam. Many people in North America (they're common equipment in the hunter ring) use those foam cat toy balls! They work fantastically well, although it's a trick to find black ones. But the coloured ones are great for "practice" as easy to see if they get shaken out.
I'll admit, I've usually used cotton. Cheap and easy to customise.