Question: I'm working some steel rods into small studs, the problem is that when I tighten them in my vice, they get severely bitten by the vice's jaw blocks, leaving some nasty marks in the rods. I can live with the marks, but some rods have very small flat shanks and the marks interfere with the next threading session. I'm not new in metal work and know about adding protection sheets to the jaw (aluminum, copper, etc) to avoid having the work being bitten, but I can't tighten the vice enough: I get the rod slipping, specially because the threading lubrication.

So far I tried protecting the rods: aluminum, thin sheet metal, copper, rag, paper, cardboard...sandpaper (which kinda works), but still get the rod slipping at some point.

Any suggestions/ideas/experience in how to secure the rods fair enough to thread them without the vice bite the shanks?

Answer: 
Have some spare length, create the first thread, then use a couple of nuts to "lock" on to the thread, cut off the damaged spare then do the second thread on a virgin section. A lot cheaper than purchasing collets etc. No disrespect to toolmakers and the precision they work to!
sounds mad but a block hard wood drilled and split should do it, may be a sharper cutting tool with lot of reverse action as you fight it. goodluck.