Hi - and welcome to PCC ant the Polymer Clay Addiction.
I used a hot glue gun and made sure the good sized blob of glue got into the bristles really well. This way the sandpaper-dot stays on thru a lot of sanding. Getting the dot off of the bristles when worn down is easiest right after sanding something when it's still wet - but don't try to glue a new dot on until bristles are dry again.
It might be a good idea to read this thread thru - there's a lot of Q's & A's and if you still have questions don't hesitate to ask.
Happy claying and sanding.