Cable grips work very well as mentioned. This is one I use a lot for small stuff.
I am in the electrical
industry and have been pulling wire and cable for 40 years. If the cable or wire has any type of outer jacket or is multi stranded it is best to remove the jacket or several strands and use the core
or center strands to form the connection and keep it as small as possible.
tape to cover everything and use it for a taper if needed and ALWAYS tape the last layer starting from the bottom and overlapping towards the direction of pull. This protects the leading edge and hopefully the final wrap would be in the narrowest part of the line ahead of any bulge.
Use a lube if needed and if its tight and you want to attach a second line or messenger, its usually best to tape it to the conductor after the bulge. It is also amazing how well just a straight overlap with tape can hold if its overlapped for a longer distance. For small stuff about a foot or so.
The main thing is to take a little extra time and use common sense to keep it small and clean.
Also if you use the cable grip, keep it away from children
of ALL ages. As Zee mentioned, its quite a magnet for trouble. Even my adult helpers were constantly being distracted by the darn thing. One even managed to actually hurt himself playing with it!