Relax to the horse's movement that helps alot. The times I've ridden in a western saddles. I've noticed that it digs into my thighs (I ended up with bruises) so when I ride in them I try not to hug the horse too much.
Well one of my previous teachers told me to imagine your legs were roots , and then to put your wieght in your but. But that might be a little hard to understand. If it helps at first you can hold on by sqeezing your legs together to grip, then you can slowly work out of that habit.