I had the same problem. I tried a few of the ones you can get in the chemists before getting a proper one at the dentists. To be honest, the one I got from the dentist wasn't much better than the chemists ones, and I bit through it after about 6 weeks. However the dentists one was smaller and more comfortable than the ones I got at the chemist - they were really bulky.
Expect a few restless nights while you get used to it - I woke up a few times to find I'd spat it out in my sleep. You do get used to it eventually though, and it really does help protect your teeth.