I'm still a fairly new fly fisher, but I have been holding the fly at the bend with forceps. Helps me from dropping it. Then, for clinch knots, I hold the tippet ends still in one hand and spin the forceps with the other. I end up minimizing tippet waste this way.

An Orvis instructor showed me a technique of sticking a pinky in between the tippet ends and twisting the fly with the pinky to make a clinch, but I tend to stick myself with the hook and use more tippet this way.