First of all make sure your shock is long enough. If the piston tops out when the chassis sits level, it will blow apart when you hit a dot. You need to replace the plastic star shaped retainer every time it comes out, they don't work twice. If you do these things your shock will hardly ever come apart.

Or do what James says, get a Silva shock-they have a screw-on cap on the end of the shock, and they work very well.
O'D