I have used regular modeling clay, and it will work. The kind you used as a child. There is a drawback to using it. If your hand is holding the clay while working, it will get warm and become soft. It will not hold well then. If you use the modeling clay you will need to make something to put the clay in that can be held in the vice. I use some strips of wood glued to a wood base. The wood base is held in the vice and the clay is forced down between the wood strips and your project down in the clay.
I've recently tried red setters wax which allowed far less vibration I think, I had to resharpening 20x less often than in thermo loc. you'd want to take the band off though I think as setters wax requires the piece be heated to hold well I've heard. I've been told white mineral spirits is the thing to dissolve it.
They are a little fiddly nothing you can’t do. They have been used for years jewelers and engraver
they can be melted with alcohol into a sticky paste and then heated to evaporate the alcohol