There are several methods, here is one. Rifle cartridge shown, but will work for anything. Use cracked or shortened cases that are not usable for cartridges.
Purchase some nylon screws, drill out the primer pocket and tap to match. Thread the screw from the inside of the case and cut it off flush. Advantage; harder than RTV and cushions better. Added advantage; easy to replace the screw as needed. Lathe is not required; it can be done easily with a drill press or hand drill if care is taken.