Black electrical tape -- The purpose of the helicoid is to allow lenses to be attached to it for temporary use, so we don't want any permanent attachments. Electrical tape seems to works really well. It leaves no sticky glue/residue after you peel it off, and fixes lenses/tubes in place really well. Due to its slightly flexible nature, the electrical tape may allow a small amount of play if it's not stretched tightly when applied.
Wide Elastic Bands -- The best ones I found are those from Broccoli bunches. They are strong, and wide, not to mention that they come in different colours! This is useful when you need to slightly enlarge the lens barrel so that it stays inside the focusing helicoid, as you can see from the picture below. The front element of this Agfa Variogon 9-30mm f1.8 is too thin to be secured in the helicoid. I wrap three bands on top of one another, and it fits like a glove and stays put. If you want more security, you can put more electrical tapes on top.
I know, these are stupid solutions and will likely degrade the optical quality of the lenses since centering as well as flatness to sensor can not be garranteed. But it works well for non-critical stuff like soft focus lenses. Sometimes, it's better to be able to take pictures than no pictures. Besides, there is a big fun factor here to "create" your own lens.
If you have some good technics or ideas, I would love to hear from you.
The band-aid solution. Click to see larger.
Flying birds -- NEX-5 & Agfa Variogon 9-30mm f1.8 front element.
Streetcar -- NEX-5 & Agfa Variogon 9-30mm f1.8 front element. Click to see larger.