I suppose it depends a little on the missle type, size and colors to be used. If it is a large scale missle or even a big enough small scale, I usually drill a small hole in the area where it will be mounted and glue it to a tooth pick. This usually works well and the hole is covered by the pylon when it is attached to the aircraft. Some missles even come with conveinant holes already in them. I use a piece of styrofoam to hold the missles as they dry. Just push the sharp end of the toothpick into the foam like a pin coushin.
Some missles have large radomes in the nose that are a different color. In that case you could tape off the radome and use the taped section to hold the missle as you paint. Can have problems with finding a place to let it dry though.
Just another note... if you plan to hold the missles in your hand as you spray or airbrush, I recommend wearing a latex glove...saves a lot of time scrubing your hands with soap and water when you get paint where you didn't plan.