Finally, the light bulb went off and I thought "why not try to make this sheet into a fitted one" I took the measurements and figured out it would work! I needed the sheet to be at least 96x106 inches. That is planning on 8 inches for the height of the mattress and 7 inches for underneath the mattress. The sheet measured 102x105.
Also, I could have cut the sheet down to the size that I wanted and gotten a better fit but the time saver/lazy person in me wanted to just use the factory finished edges instead of finishing any edges.
As you can see it doesn't fit perfectly but it didn't cost me anything extra and hopefully (it worked for the first night :) won't have to fight it anymore.
I found a helpful tutorial at Everything Your Momma Made blog on how to make crib sheets that is a really awesome tut. So check it out before starting
First, I cut a square off of each corner measuring 15x15 inches. If I were to redo it again I would cut out a piece 15x12 inches. Hopefully that would help it fit better.
Next, find your first corner. Fold each corner to each other and sew down it. Think of it as making your square into a triangle.
Repeat with each corner and you have in about 15 minutes a new fitted sheet.
Lets just say my daughter was REALLY THRILLED to have sheets that will stay in place.