I've used double-sided tape from McMaster-Carr (made by 3M) to hold thin plastic or aluminum stock to a sacrificial aluminum plate with pretty good luck, though the part sometimes comes loose near the end of machining. The likeliness of that happens seems to depend on a bunch of factors, inluding surface prep on the sacrificial plate, size, and features of the part, and the care with which the part is taped down. Ethanol or acetone can be used to assist removal of the part from the plate.
Mitee-Bite also makes a tape that is released with heat,. I've not tried that yet, though.
You might also consider a vacuum plate. Tormach sells one, but it shouldn't be too hard to make one.
Mike