Sounds to me like you might have had them in stereo but with a mono feed, I was rocking out with mine at home then set them up a few days later and it was tinny, no head room, awful. Then I realised it was a different P2 and sure enough it was in stereo, swapped it to mono and it blew my head off!
There are other tips available for the in ears, foam or silicone and various sizes, I wouldn't spend a fortune on molded plugs only to find out that they won't work for you.
Personally I wouldn't use in ears in a band where some members are and others aren't, from what you say you could spend loads on new in ears only to find that it's the dodgy mix.
I'm sure more knowledgeable folk will be along soon.
As for the stage entrance, I put the wire down the back of my shirt then you can hang the left and right plugs on the correct side, put the P2 on your belt with the 3.5 jack already in, I then loop the xlr lead over my guitar strap just like my guitar lead.