There are magnets to fit various sizes of sockets to retain the nut or bolt inside them until started, tape on a UJ as D suggests can keep down the wobble effect, a small ball of butyl "tape" (3M Strip-Calk, it works as a stainless steel and aluminum "magnet") in the socket. Even a small strip of paper to semi-wedge the nut in the socket works.
Frustrating for sure, but as you already mentioned, the time to check the threads on any parts being reused is before they're installed. Take heart, we've all been there at some point!