This idea was featured awhile ago in "American Woodworker" magazine and I was reminded of it the other day while watching a customer work on his lathe--sanding on a lathe can be hard on your fingertips!
To protect your fingers, cut the fingertips off a latex-dipped work glove and wear one or two of the fingertips while sanding. It serves a dual purpose--protects your skin and it also makes it much easier to hold onto the sandpaper. You can find these gloves at a hardware store for less than $10!
Safety Note: Don't wear the whole glove while working on your lathe. You could be seriously injured if the glove got caught on either your turning project or the lathe itself.