Once you have sewn a lining into your jacket, you still have one more step before it is securely fastened.  A loose lining is just that - loose - until you have tacked it to the jacket in a couple of strategic places.  One of those is the shoulder seam at the armhole - tack the jacket and lining seams together at that point.  Another optional place to tack is at the side seam/armhole join.  These will ensure that your lining stays in place.