I was wandering around looking for something else, following links off of links, and read the following. I didn't write down or bookmark where I got it from since I wasn't really thinking about doing this at the time - I was more interested in tracking down the pattern I wanted. But a few weeks later, when I needed to make a ball from a skein, I remembered it & tried it. This works well and maybe others will find it useful as well.
Take an empty toilet tissue roll and cut a very short slice into it at one end. Anchor the end of your yarn skein there so it will stay in place. Now start rolling your yarn on the roll using a figure 8 configuration and slowing working your way around the roll. You don't want all your yarn in one place ... you are constructing an inside pull-out ball. Once all the yarn is on the roll, tuck the outside end underneath a few of the last rounds to help keep it in place. Then remove the other end from the cut and slide the whole thing off the roll.
You can now pull your yarn from the center of your ball, which will stay politely in place right next to you, leaving the dust bunnies & other wild critters hiding under the bed, couch or chair until you are ready to cage 'em up.