At the local
hardware store, the clerk recommended a small diameter masonry drill and
masonry screws -- they'll work, I'm sure, but it seems a bit radical.

It may sound a bit radical, but it's really not. When I moved into
similar construction I was sure concrete nails would work; what a
mess. The drill-and-screw method is actually the most efficient, does
the least amount of damage, and holds the best. It's way easier than
trying to pound into that stuff.

Or else you could paint murals directly on the walls. :-)

--svs