I use this:

http://www.newegg.com/Product/Product.aspx?Item=N82E16835100005

It's about $13, which is expensive, and yes, you don't want to try to keep the tubes around for long, so I try to buy that and do as many things as possible all at once. My last purchase did five m68040s and I still had some left.

BTW - it's 100% fine for m68040 CPUs. The no CPU thing is about modern Intel and AMD systems. If you use it on one of those, there's no way to ever remove the CPU since you can't open the CPU socket cage.