Whatever you use you still have to make sure that the catheter is very well anchored/secured to you so it doesnt move or pull at the exit site.
I used to get trouble with it digging into me as well so I folded 2 peices of gauze seperately in half, and put it under the catheter just where it runs along near the exit site where it was rubbing. Then just put your anchor tape over the top. Another solution I found very helpful was to anchor it with 2 small round duoderm dressings. They were about the size of a 10 cent coin. You put one onto the skin where you anchor the catheter, place the tube over the top, then put another duoderm directly over the other one, with the tubing between. It held in place for about a week, which was good.