I'm sure this isn't a new tip, but when I'm sanding at the lathe, particularly smaller projects like pens, I use a spring type clothespin to hold the sandpaper. In addition to keeping your fingers away from spinning material and potential harm, you remove them from heat buildup, allowing longer sanding moments. Plus, you can use smaller segments of sandpaper, meaning you can use all of the pieces you break out for the sanding.
Also, you can write on them in some form (I personally prefer ultra fine Sharpie marker). I typically have five or six clothespins around, each marked with a different grit.
To use these, I get the mouth of the clothespin right on top of the area to be sanded. This provides enough support that the sandpaper comes into contact with the material. And, for the safety conscious, the fingers do not get "bitten" when the sandpaper gets ripped out of the jaws. Folding the sandpaper up two or three times usually adds enough thickness that the jaws of the clothespin grip the sandpaper more securely.
I do not use the clothespin exclusively - mostly when I want to be sure of my fingertips.
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