I have been reading this thread with interest as I am potentially in the market for in ear phones but as I have wax build up already will tread very carefully. My headphones are very large and maybe there is a small light pair of on ears that might work. In the meantime on with this thread.
do what I did first off. Get a pair of CCA CRA iems, get some Comply T500 foam tips, replace the tips that come with the iem as the treble is all over the place and foam tips keep this under control without hurting the bass. £14 for the CRA off Aliexpress and about the same for the tips. For very little money you can give them a try for comfort, if nothing else. These don't go deep in to the ear like the Etymotics so wax isn't quite the same problem.
I mean these aren't high end by a long way but they sound better then they should for not a lot of money and from there you can work out what is comfortable for you. I've found IEMS are very personal due to fit and tips (you end up with lots of tips as once you get comfortable they work with lots of iems), it's really hard to recommend some as what fits in my ear comfortably may not fit in your ear and you have no bass and the treble is all over the place. Start cheap and then plan and the CRA are a similar size and fit to a lot of iems. There are hundreds of Chinese made ones and they keep bringing out new upgraded models, there's already a CRA+ out, but the originals are just a good no nonsense cheap pair to get you comfortable with them.