I found http://www.maplin.co...polymorph-35511 very 'useful'. With a bit (or maybe a lot) of practice you can make something that exactly meets your need. Even a 'permanent' device: only removable if broken. The material can be reused many times so you can try out different ideas.
My painslut has been messing about with this stuff to put spikes in uncomfortable places. It's a great product, and has also been used in making me impact toys