The easiest way is to get good quality clear packing tape and simply stick it to one side (about halfway down) then loop it over carefully and stick the other side with the opposite end in the same manner.
Now the lengh should be long enough that you have a "U" shaped piece of packing tape stuck to the CF drive in the middle. Then simply compress the "U" making the tape stick to itself.
I have found that having a "U" (and therefore a tab) of about 3/8 " is more than enough to get a good grip on it.
I used to do the above and use a small piece of metal (like a 1/2" of a straightened paper clip) and place the clip so it would be at the end of the tab when you stick the two sides (of tape) together.
This might be necessary if the CF slot it really tight, but still try it without the clip first (tape only) as it will last ALOT longer. My microdrive/cf slot seemed insanely tight, but really it is simply a matter of just getting a SLIGHTLY better grip.
Oh yeah, and like the poster above said, "don't cover the vent hole with the tape"...if you do, then uncover it or use a needle to carefully dig out the tape.
Been there, did that
