I now use the foam backed sanding discs on a pair of surgical forceps but normal paper folded several times would also be fine.
I have tried sandpaper on my finger a couple of times and almost had it twisted off.
A more experienced member of my local club on hearing the story told me with all workshop work never to put my fingers where I would not put my......... Well, you get the message but it is a good maxim to go with!