Clamps

 Clamps aren't needed very often in typical hobbying. When you're drilling, filing, chiseling, etc and need to make sure your piece doesn't move around, you should clamp it to a tabletop.

Purchasing

You can find them in most hardware stores. Pictured on the left is what's called a "C-clamp". (Can you tell why?) This is a steel clamp that's very strong, but not too big. They do come in different sizes though, starting small and getting pretty big. Smaller ones like these aren't very expensive, coming in around $4 each.
The clamp is engaged with a screwing motion.

Some clamps may be plastic or have foam on the contact points to protect your pieces. Other ones have a squeeze trigger, instead of a screw style.

Deeper clamps are useful as it means you can hold down larger parts further into the table.

How To

Clamps can exert a lot of force when they hold something in place. You'll want to make sure that you don't damage or mark up your part or the table / surface you're using for stability. (especially if it's hollow) If you place a larger piece of wood, plastic or similar surface on each contact point, it will disperse the force, helping to prevent the damage.

When you do attach them, the side that takes up the least amount of space should be up top. This is done so that there's less to get in your way as you're working. One clamp is rarely enough - always use at least two to properly hold pieces in place and prevent things from shifting around.