Funnily enough, I came across this tip only the other day in one of my older reference-books:
Cut a strip of card, oil it well, wrap it once round the work-piece like an electrical P-clip, and trap its ends in the steady clamp-jaws. Obviously the fingers would have to be set on the card surface rather than directly onto the metal, when adjusting the steady up at the chuck end.
I've not tried it, as I say I found it only the other day, but allegedly it is an old and well-tried trade method. I've never seen it mentioned by anyone else though.