Since I usually paint before basing and use the method of trimming slotta tabs down to pegs under the feet instead of pinning, I hold the figure by clamping the pegs in a clip of some kind. I have forceps like Donpimpom uses, and I have a mini-vise like Snitchy's (though I think mine is a crap knockoff as the threads for opening/closing it are reversed, which is annoying), but IMO the best are bag clips (like for holding chip/crisp bags closed).
In circumstances where I'm painting after basing, I use the blu-tack method. Though instead of a bottle I have a little 2" stone cube I got at a home decorating store long ago. It feels a lot more secure & stable in the hand than a bottle or dowel, and I can move it around in my grip a lot more freely without risk of a finger accidentally touching the mini, or of dropping it.