How I wear my pigments and powdered e/s depends on what I'm up to... The MAC shadesticks are really hard to find here where I live (northeastern Brasil), so using them as an eyeshadow base is a little out of the question. The NYX jumbo eyeliner pencils work OK for me, but an even better and cheaper alternative here are the Avon eyeshadow Stix. As e/s themselves they really suck, but they're some of the best pigment bases I've ever used.
I stopped pressing e/s very quickly after seeing how the alcohol wrecked the texture and colours. So now I've gotten used to and prefer using them in powder form--when I work a little bit of the powder into the brush before application, fallout is negligible.
Oh, and when I want to use the pigment as an eyeliner, I mix it in with a tiny dab of glycerine. Works wonders and lasts all night long for me!