One thing I heard before from moms is to have his privates pointing downward into the pullup. You may have to adjust him after he puts it on but that may help.
Check out the size issue as the other mom said and if needed, put a pair of regular underwear on on top on the pullups (if your son will let you that is) to keep things snug.
I've always liked pampers products better (apparently they are the least allergenic) so you may want to give them a try. Perhaps you can get a sample from pampers.com.
Btw, I'm sure you already have these but there are plastic fitted sheets that you can put under your regular fitted sheet so that the mattress is protected. Additionally, I used to put a thick towel under him when I was training my son so that the leakage would be localized. There were times when the towel was the only thing I had to wash.