Rich, I have a couple of set ups I use for "hard to hold" items.
For thimbles, I took a 6" length of 3/8" CR, drill w/ tap drill for 1/4-20, 1" deep, then tap 1/4-20 using a 4 flute tapered(starter) tap to 3/4" deep. I make 2 cuts, 90 degrees apart using the jewelers saw to the 1" depth, run a 1/4-20 capscrew in the end. clamp the mandrel in the vise, slip the thimble over top and tighten the capscrew. Works amazingly well.
For filing decoration and such on thimbles, I made this little fixture using some 3/8 all thread
For the small item such as sights, barrel lugs - I use this tool I had in my box from a former life as a maintenance tech in a brewery. We would make these when the lines were running well. They are for pulling table top conveyor chains together to install pins. Fortunately, I never threw it out. Works great for holding and filing sights and when I flip it over I can file dovetails for sights, lugs, etc..