I swear by headphone leads... wrap them around the grip bit, twist the two ends together tight-ish (its surprising how lightly you actually need to twist) to gain purchase and turn  - works wonders for those really annoying CPL filters with a small grip and a large free-moving polarising part...

 

edit to add - and it saves you lugging round extra gear if, like me, you go out with tunes on ;)

"In every colour, there's the light.
In every stone sleeps a crystal.
Remember the Shaman, when he used to say:
Man is the dream of the Dolphin"

Rich Meadows Photography