Hi,
You can also use rubber bands... One on the filter and the other on the lens. I keep a few in my camera bag for just this reason.
Also, one of those "jar opener" grippers... Got some from a real estate broker friend. He gives them out as advertising. That works too, but isn't as small as your basic rubber band.
If really, really stuck... there are "band" wrenches. These have an adjustable rubber strap. Check local hardware stores etc. However, many of these are too large. www.micro-tools.com
sells one that's sized smaller and perfect for working on lenses.
However you do it, be sure to grip the front of the lens, just behind the filter, as best you can. If you grip the lens farther back, you might be putting "torque" on all kinds of mechanisms that would be better off without it (this depends a little bit on the particular lens design, but it's generally true).
Finally, you might just take it to a local camera repair shop. They'll usually do it in about 3 minutes while you wait and only charge you a couple bucks. Most repair shops have the proper wrenches to do the job safely.