Prep the lid. The key to keeping eyeshadow from melting into your eyelid crease as the day goes on is to kept eyelids oil-free. To do this start with an eyeshadow base (also called "primer"). Simply swipe the primer across the eye and let it dry before you continue to the next step.
Some great primers for a smokey eye include MAC's 'paint' and Urban Decay's 'Primer Potion'.