Some riders have difficulty keeping their knees against the saddle because their conformation does not match that of their horse. For example, a long-legged rider on a very narrow-bodied horse will sometimes find that he cannot keep his knee against the saddle while maintaining pressure on the horse's flesh with the inside of his calf.
A rider needs the support of his knees for both safety and effectiveness. The problem of naturally incompatible comformation between the horse and rider can be dealt with by having extra padding put in the saddle at the knee rolls. It would be best to have this done by someone who works with saddles all the time, rather than someone who does other types of leather work. If you cannot find someone competent in your area, I would suggest contacting Dover Saddlery at 1-800-989-1500. They also have a web site at http://www.doversaddlery.com. You'll need to tell them how much thickness you want added in the knee roll area, and they may want you to outline the exact area in which you need the additional padding, particularly if your saddle is the type that doesn't naturally have knee rolls.