Some folks use something like this:
http://www.harborfreight.com/cpi/ctaf/Displayitem.taf?itemnumber=319
Most of the time I just rig something up depending on the particular build. As a simple base, I use packing foam. Like here:
I cut it into whatever shapes I need for the job and use tooth picks to keep them together. Once I'm done, I break it down and save the peices...like legos.