I usually just place a small magnet on the shaft of a screwdriver near the handle, which magnetizes the whole thing and holds any STEEL screw. Of course it won't work with brass or stainless steel screws.
In a pinch, you can also cut a small piece of masking tape and stick the screw thru the sticky side and then place it onto the point of the screwdriver and bring the tape around to the blade to hold the screw until you get it started, and then remove the tape just before it gets tight.