I find it interesting that many have offered up a brand, but none have talked about application.
First of all, most people use far too much grease. A single tube of Brian Enos Slide Glide should last the rest of your life. In fact, when you put it on, 80% of it will be wasted anyway.
You wanted grease that stays put, but you didn't say what the reasoning behind this statement was. Are you finding grease getting in your holster/case? Does it seem like all of it is squeezing out? Here's the thing, every micron of grease that squeezes out is wasted. Yep, if it's not on the surfaces contacting each other, it ain't doin' no good.
So, whatever you use, they'll all stay in place the same. Much of it will be squeezed out as you assemble the gun. Just wipe this excess off and don't worry about it.