With the help of a modified pencil stub, you can have a simple little grip that will give you more control when you are cutting or grinding with a bur.
To begin, measure along the shaft of a pencil stub about 1 inch. Cut the stub to the proper length using a jewelers saw.
Once the pencil has been cut to the proper length, you must remove the pencil lead (graphite) from its core. Take a twist drill that is the size of the bur shaft, or slightly larger, and begin cutting through the lead.
Once the hole has been drilled through, push the bur through the pencil stub. You should have plenty of room to attach the end of the bur to the flex-shaft handpiece.
Now when cutting or grinding, you can grab the pencil stub and it will keep the bur still. This trick also has another benefit: The leftover graphite from the pencil lead will act as lubrication, allowing the bur to turn freely as you work.