Make sure your whole leg is relaxed, as heels that won't stay down often arise because of tension elsewhere in the leg. As well as doing exercises to strech your achillie's tendon (standing on a pavement or stairs on the balls of your feet and lowering your heels), do stretches to improve your whole body flexibility and posture too. When on board you can: pull your knees up to your chest one at a time, then slowly relax them back down; lift your leg sideways away from the saddle til it aches at the front and top of your thigh; pretend to cycle with your legs. Work without stirrups will also help, especially if you grab the saddle and pull yourself down, concentrating on really relaxing your legs - will give you a deeper seat and independant legs.