This device commercially is two linked stretchy
bands which pull the pencil back into the webspace of the user,
correcting a vertical pencil grasp (which often goes with a
hyperextended index finger knuckle and sore/tired fingers!). There is
also a small charm to hold in pinky and ring fingers to keep those
fingers off the pencil. You can
make your own (minus the charm) by using two stretchy fabric hair
elastics. The home-made ones are not quite a comfortable as the
manufactured one (see them at www.HandiThings.com),
but are a good way to test them out on a kiddo and will do in a
pinch. I use one that is
about 2 inches in diameter and one that is about 1 inch. Each size
comes in packs.
Attach them using a "lark's knot." 
Then place
one hairband over your wrist like a bracelet, and put the other loop
over the end of the pencil. You may need to put a chisel eraser on the
end of the pencil to keep the hairband from slipping off. If the
hairband loop is so loose that it isn't effectively pulling the pencil
back towards your wrist, wrap that loop an extra time around the
pencil. Voila!