I'm an amateur. I'm not a production turner. I hold my sandpaper by hand, for sanding while the project is turning.
To avoid really hot hands and fingers, and get a bit more uniform pressure on the turning object, I use a pad or wad or ball of newspaper. Make a manageable-sized wad of crumpled newspaper and use it as your backing or support for that piece of sandpaper you have been using for sanding your bowls or spindles. You will have to use both hands - one to manipulate the newspaper wad, and the other to hold the sandpaper in place, as you move around your project.
You'll get more uniform pressure on the sandpaper - not just the places where your fingertips or knuckles were bearing down on the paper, before. No more hot hands.
Maybe not so good in tight places or sharp surface features like beads and grooves - but great for most other turned surface shapes.
Don't use wadded up fabric - it will grab and take fingers along for the ride. Newspaper will just shred or tear and let go.
Really crumple the newspaper and work it and flex it and crumple it again, making your wad more flexible and able to conform to your work surface shape.
This may be old hat for many of you, but a recent discovery for me. I like it. tom koehler