I usually use a thin wooden board, ripped to the thickness suitable for the contours I'm working on. Spray glue is pretty good for holding on sandpaper until it is time to change it. End handles can be screwed or glued on.
If you are really into making smooth shapes, have a look at foamed glass blocks. They wear into any contour as you work, cut like 40 grit, and finish like 100 grit. They are often called Fartstone, being blown with hydrogen sulphide.
I'm also very fond of a 1" hand-held belt sander with all the junk removed so that I can use the unsupported side of the belt.
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