>>1020349The style you have doesn't really hold on well.
The ones I like are shown in the picture: they have a plastic screw-thing. You put the reflector on a spoke, then insert the screw-thing from the opposite side and turn it a quarter-turn and it locks on pretty well.
These come in a couple different shapes, but the white plastic screw is the same. These are common in the USA, dunno where you are.