After I added the moon caps I went over a few potholes (in Michigan there are only two kinds of roads, ones with potholes and ones "under construction".) and promptly lost a cap.
I bought another from the local wheel shop I purchased the set from (at a big discount..one advantage of buying local)
and had him check to see if there was a problem with my rims. Everything looked OK. A few weeks later I lost another (different wheel) and after returning to the shop (he offered to give me a refund) he gave me a tip. He remembered that "back in the day" guys would get chrome wheels and after a winter or two they would start rusting. They would then buy hubcaps to hide the rust. The problem was the chrome was too smooth and the caps would get tossed every time they hit a bump. The solution? a couple layers of 1.5" MASKING tape around the inside of the rim where the caps hook on. He said Duct tape would come off when it got wet but masking tape would just stick harder. I took his advise and haven't had a problem since.
I don't know if it the slight angle on the inside of the stock rims or if the finish is just too smooth, but if you have a problem losing hubcaps, it is worth a try.