Hey hon, She laq is a Benefit product, good for lips, mascara and liner (can feel a bit weird on eyeshadow). I have used it, normally for eye liner. I would recommend going to a benefit counter and getting one of the girls to pop some on you so you can see how it feels and how long it lasts on you.
Do you have normal to oily skin?
Mine is and the skin's oils can break up the pigments used in make up which can lead to a melting/disappearing effect. I've personally found that the best things to do are:

Wait at least 5 mins between moisturising routine and make-up routine. Preferably 10.
Keep your skin in good condition. Exfoliate and use an moisturiser that sinks in and doesn't 'sit' on the skin.
Use a make up base. I use Mac's protect and perfect under my foundation.
Fix with a good loose powder. (I actually use T Leclerc's under my foundation for hot/busy/important days as well as a neutral colour on top. )
Use good make up brushes (including a foundation brush)
Use an eye make up base (I recommend Benefits FYeye) a small amount on the eyelids before eyeshadow will keep your eyeshadow on a lot longer then using foundation as a base. And use a neutral colour all over the eye area to make sure there is a dry base for the colour to cling too.
Take care when applying your eyeshadow, it can be worth splashing out on the mac stuff. As it's more finely milled it's less likely to clump.
Avoid eyeshadow creams - stick to powders. Make sure you tap off excess before applying as too much in one go can lead to clumping and disappearing.
Oh and I do fix my liquid eyeliner with powder eyeliner (again with a good brush), makes it last so much longer.

Other tip:
I haven't used this one, but a couple of people have told me they use a antiperspirant on areas of the face prone to getting really oily (obviously avoid eye area) before make up. (This is used by MUA's on bald headed men appearing on TV too. no-one wants glare from studio lights blinding the camera man).


Hope this helps :-)