All of the time I've been playing Warhammer/40K (which must be over 15 years by now) the main way of spraying models has been to put them in a cardboard box to catch any spray that doesn't go on the models. Unfortunately (as a lot of people find) it also leaves you with undersides that are difficult to get at either lacking paint or requiring spraying from odd angles (like having the models lying down).
This month's White Dwarf has an interesting idea that I hadn't thought of before - a length of 2" square baton with copious amounts of double-sided sticky tape around the sides. Presumably it is for plastic models only (since metal models would fall off) but the idea is to stick models on each side and rotate the stick, meaning you're going to catch the underside of one set of models while painting the fronts of another.
Definitely a different and useful way to do it. It seems so useful that it is odd they've kept "spray in a box" as the recommended way for so long!