Thats an idea... I guess one of those things that I have used for so long (1/4" and 3/8" bolts with a slit cut with a hack saw) and thought everyone would already have one that they made themselves.
Ill do a little thinking on an easy way to do it (the slit is something that is sort of tricky to do nice and clean.
The set screw idea... I have never had a problem keeping the sand paper in place, but then again, I have never used one so large in diameter... maybe that or the width of the slit is the culprit?
Wade