I've switched to Kotex brand of tampons. I like them way better than the other brands, for M. anyway. I've gone swimming on my period, it was a pretty heavy one that time & never had a problem w/blood leaking out with the Kotex Super Absorbancy. Your vagina pretty much holds it in pretty well & holds 'it' closed pretty well too I think.
Some advised using a cup but I've never liked the cup b/c you have to handle/touch it & figure out how not to spill it when taking it out. To M., it's unsanitary & just makes a big mess, I'd hafta wear gloves, hafta rinse it out, hafta take a spare/clean one to replace it with & plus I'm always afraid of dropping it...I guess I'm just not talented enough in that area to use a cup but to M., cups are just too much trouble. For M., tampons all the way.
As far as tampons go, like the others said, try a higher absorbancy or a different brand. I too had leakage problems w/Playtex as well as Tampax & store brands but so far, I've never had a problem w/Kotex. I've honestly never tried O.B. b/c I don't like the thought of no applicator...again the unsanitary touching thing but a lot of girls like them. Try a different brand or higher absorbancy, or try a cup, that's about all you can do. :) Good luck!!