This is the easiest to make, cheapest and probably best pellet holder I have ever devised.
You need some foam strip with the adhesive backing as used to line door and window frames to stop draughts.
Available from most hardwares.
I used one which is about 12mm wide by 7mm thick.
Cut a piece to fit onto any convenient part of your rifle [even your forehead if it makes you feel gung-ho]
Using a soldering iron with a conical tapered tip melt holes along it's length from both sides so as to inflict an hour-glass profiled hole which will hold the pellet in place.
Turning the soldering iron in the hole makes it neater.
Experiment on a small piece first to get the correct depth and width.
How easy is that?? :beer:
Mmm...maybe I should patent it?