Working on metal is synonymous with creating a mess. Little metal filings will bounce away and get lost forever, only to be found later by someone's bare foot! This can be avoided though.
In surgery, surgical dressings are used to isolate the area and keep things clean. The same principles can be used when working with metal! The goal is to place dressings around the work site that will catch and collect anything that might be trying to escape. The material of choice for this: wet paper towel.
Wet paper towel will catch and hold any metal filings that might try to bounce away. If you are working on a vice, simply drape the paper towel through the vice and under the object, and then up on the sides to terminate next to the object. You have basically created a moist diaper around the metal fitting so that anything that falls will be trapped and held.
Clean up is easy too as all you need to do is ball up the paper towel and throw it all away! An important thing to remember though, the paper towel should be moist, not soaked. If the paper towel is too wet, it will not adhere to the metal filings and they will still bounce away. I like to wet it, then squeeze it dry, then open it back up. This seems to provide the right amount of moisture to catch and hold anything that lands on it without dripping all over the place.