An alternative to rubber bands, o-rings and music-wire snap rings would
be to find a small rare-earth magnet. Dud IDE drives usually have a
very small one for parking the heads in addition to the big one used
for head movement. Woodworker's suppliers have them in various sizes
now for not too exorbitant a price. I've got a number I use in small
sockets for holding nuts and screws for driving in odd locations on
vehicles, the ones I use in the 6mm socket hold at least a pound. I've
also seen them in the hardware store on the backs of novelty
refrigerator magnets if you can't fine one anywhere else. These don't
usually have as good a pull as the ones from the woodworker's store but
might be more readily available.
Downside to using a magnet is that your taps might get magnetized,
easily fixed with a demagnetizer, though. I usually end up
demagnetizing mine before use anyway, somehow they get slightly
magnetized just sitting in the drawer.

Stan