I've noticed Seagull guitars seem to be particularly picky about this and what you're experiencing is quite common and it's one of the #1 reasons acoustic players don't change their own strings. They can't figure out how to keep the pins in. And the 6th string, the thick E, is the worst by far.
I take the string and about 1 inch up from the ball end I bend the string about 90 degrees. I then insert the ball into the hole and feed it in so the back of the bend is towards the end pin/strap button and the ball is pointing towards the sound hole. I then line up the pin with the groove over the string and push it in. Just before it snugs up I begin to pull the string up. So I'm pulling the string up with my left hand and pushing the pin down with my right hand. 99% of the time I can get a fit so snug that at this point I could actually lift the guitar up by the string in my left hand. However, some guitars NEVER get that snug so I go ahead and thread the string onto the peg winder and begin to tighten it. As the tension comes up I'll push down on the pin with my right hand. Like Marty said, at a certain point the pin ceases to want to come out and it holds.
There's only one guitar I own that I've had to replace the pins on because the holes were getting so worn and it's not that they had a hard time keeping the strings in. Quite the opposite. The ball end of the pins were getting so low into the bridge it made string changes take forever because I could ONLY push the pins out from inside the guitar up. There was no room to grab the pin ball end. I put a set of those D'Andrea 'Tone Pins' or whatever they're called, brass, and they're bigger and much easier to deal with.
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