Having made a John Ashton Universal Screw Modification Fixture, I use that.
It means making a holder for every size / thread of screw, (And I HATE mass production, the score now stands at over a dozen! ) but it holds the screw firmly so that it cannot screw itself back in, or get lost.
The time making it and the various holders (From 8-32 UNC up to M8 ) was well spent.
Howard.