Thanks for your comments Chaps,
I've used the double sided tape and supper glue in the past especially where you can't use the running centre to clamp the parts, but in cases where you can the masking tape works just as well if not better:- what is does is improve the coefficient of friction between the parts giving you more grip against a steel on steel drive.
One of the trouble with using the double sided tape or adhesive is that the heat generated by machining can cause is to come unstuck, and then you've got the added job of cleaning the stuff off afterwards.
Cheers
Stew