Here are a few things you can do to clean up/prevent eyeshadow fallout on your face.
Do your eye makeup first, then apply foundation and concealer. That way you can wipe away the fallout without wiping off the rest of your makeup.
Use Shadow Shields. This way you just gently peel away the fallout. (Shadow Shields are also great to use when you need help to achieve your winged liner.)
Hold a folded kleenex under your eye when applying your eyeshadow, this way the eyeshadow will fall on the kleenex and not your face. (Folded – because its easier to hold and control)
Apply a thick layer of loose translucent powder under your eye (DO NOT BLEND IN – Let it sit on your face) So when the shadow falls you can brush it off with the powder.