Depends on what I'm sanding...
Sometimes I fasten a whole sheet of sandpaper to a large sheet of Plexi-glass and then sand the item by moving it vs. the paper.
To hold a blade, I fasten it with a loop of duct tape on my sanding block. This way, I get a good grip and hold the item square.
For small items, guards, bolsters, etc..., I'll use the same trick, a rolled up loop of duct tape on my finger tip. This way, I do not sand down my fingers trying to grip something as small as a dime...
For my belt sander, I use a 5" magnetic blade holder available from K&G, Jantz, etc... I lay a layer, worn out sheet, jeans, pillow case (muz' be cotton...) over the magnet to protect the finish on the blade. You would be surprised how deep a steel filing, belt grip (ceramic...) can dig into the finish...
In unique situations, I may cut a special sanding block out to fit. I also use several round, half-round, flat (various diameters 1/2", 3/4", and widths) and I have several old large 12" files with all sides sanded off and just hold the sand paper in place with my fingers (allows quick change as you go to progressively finer grit). However, if I need to do a lot of "file" sanding, I will spray the back of sandpaper with spray glue. It's permanent for all intent and purposes and you can easily peel it off with a fingernail...
Hope this gives you some ideas...
Bruce