I've found that by pushing the drain plug in while unscrewing it, you keep the threads tight and the oil from draining out until you pull the plug away. No more dropped drain plugs.

 

Another solution is to get a drain pan that has a mesh screen on top. You can let the drain plug drop on to the screen and it won't fall into the oil. They're available at any parts store, and they have a lid so you can take the used oil to a place that recycles it.