My makeup artist has a whole system, which I do myself in the mornings and it really works.
1st, do your primer, foundation, concealer, loose powder, blush and bronzer (if you use it) .. in that particular order.
2) make sure that when you put the loose powder on you apply some to the eye lids (upper and lower) with a eyeshadow brush. Bobbi Brown oil-free even finish compact foundation is amazing, as is their loose powder and concealer (she makes the best face products)
3) then..before applying any eyeshadow pat a bit of MAC paint in "Stilife" on your whole lid (bottom to the brow bone). Work fast though because once this dries its hard to remove.
4)then apply any eyeshadow that you want. It will last all day, rain, shine, workout sweat, whatever.
I have the type of skin that would just absorb eyeshadow (even worse sometimes it would crease). But this stuff is awesome! Don't be scared that it looks a bit white when you apply it, once you put eyeshadow over top it won't be there anymore.