No, not SD cards.
But the first time I got a microSD card (actually it was some variant,
loaded with MP3 songs for my Sansa Fuze), I put it in, but didn't push it
in enough, and it popped out, flying across the room. I did find it, and
without too much effort. But now I know to be careful when handling a
microSD card.
But other than when putting that in, I've never had problems with SD or
microSD cards. They seem to stay in with no problem unless you bump them.
Note that many things like cameras have covers over the card slot, so no
need for tape anyway.
Michael