For the longest time, I used a scrap piece of wood for a sanding block. It was simple and didn’t cost much. But it never worked as well as I would've liked — the sandpaper tended to shift around and tear. Then, the guys at Woodsmith came up with a "new" sanding block that works really well. Not only does it fit my hand perfectly; it also holds the paper in place using plastic tubing.
To make the sanding block, first I found a "palm-sized" scrap block and drilled a couple of rounded channels across the top of the block. (To do this, you'll need a 1/2"-dia. Forstner bit.) Finally, round the nose of the block on a belt sander, and if you want to get really fancy, you can rout a finger grip on each side. Note: Click on the drawing for a larger view.
The sandpaper is held in place by two pieces of 1/2"-dia. plastic tubing that are cut to length and pressed into the channels. To use the sanding block, simply secure the back end of the sandpaper with one of the plastic tubes. Then wrap the paper around the block and secure the other end the same way.
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