If you've played golf for a long period of time, it's more than likely that you've lost a club cover at some point. When not properly secured, it's easy for a cover to fall off a club as you're driving in a cart or walking the course. By the time you notice it's missing, you might already have played several holes. Some club covers are designed to fit tightly on clubheads, while others do not fit as snugly.
Purchase, if possible, covers that secure themselves to clubs through magnets or elastics. These covers cost more than generic varieties but stay affixed to clubheads with ease. They are still easy to remove before your shot but are unlikely to fall off on their own.
Ensure you are using your club covers on the clubs for which they were designed. Club covers are available in different sizes, and if you use a larger driver cover for a 5-wood, the cover will be loose. As your clubs bounce around in your bag, it's easy for a loose cover to slide off.
Pull long, sleeved club covers all the way down on their clubs. Some covers feature a large head and a long, sock-like sleeve that protects the lower half of the shaft. Although you might be tempted to just press the top of the cover over the clubhead, stretching the sleeve down reduces the risk of the cover falling off.
Develop a habit of checking your club covers after every few shots during your round. When standing at your bag waiting for your turn to play, press the top of each cover to ensure it is tightly secured to its club. Over time, this habit can become second nature, resulting in fewer chances of losing a cover.