Well, if you're in for a little bit more pain, think sandpaper. Get different gauge sheets of sandpaper (smallest possible unless you have some carpentry to finish up afterwards), cut or tear a tiny patch off the smallest gauge with the least amount of 'grit', and super/hot glue them to each of the removable rubber tips in the clamps.
Trust me, they hold!! And if you remove the tips, it can be a hassle to properly get them back in, but it's easy with practice. Move the gauge up for extra pain-play!
NOW, if you're the type with a very high tolerance for pain (like me), you can up the ante by adding pin-pricks. This will have those clamps holding on like a bad cold.
Buy a packet of small safety pins at the dollar store, open the smallest pins, measure out the length you'd like to have 'sticking' you, and snip off the tip with some wire-cutters. Take the rubber clover-tips out and push the sharp end in from behind and through so the sharp bit pokes out however much between or around the little nubs.
The thicker the pin you use, the more pain you'll experience, but there's less chance of skin breakage, and the opposite for the smallest points. One pin-tip or several, play around with it, but remember to ALWAYS wash the clamp tips out no matter what you do with them, before and after.