I have a pair of non-piercing nipple rings, that work fine under clothes. They don't have the pain factor though, but on the plus side you could wear them all day.

A great cheap but ugly clamp, is actually the craftsman ratcheting clamps (Sears). I don't have pic's on my PC, i'll ask J to send me one to post. They're about the size of clothespegs, but the mouth is twice as wide, and instead of being spring loaded, they have lil gears. Thus you can go from just-barely-staying-on to omg-my-nipples-are-on-fire. I think they were less than 5 bucks for the pair. I quite like them.