If the part shape and procedure allows it, the best way to hold the work is with a pair of Starret "Hold downs", they pull the work down tight and hold it flat against the the bottom of the vise (make sure the vise bottom is square to the mill table top), even in a cheap vise.
Try clamping directly onto the table. If the part is to small then it can be fastened to a false table (a piece of plate milled parallel) with solder, "Mitee Grip" paper or wedging clamps. I frequently solder the work to a plate and clamp it onto a rotary table or in a vise to eliminate the problem of clamps getting in the way. If the job requires a high level of accuracy, mill a plate in the vise, that way you know it is parallel with the table and fasten the work down with "Mitee Grip" paper, works great and eliminates most set up errors.
Work holding is an art in it's self and the vise isn't always the best method for the job, we just tend to go there without thinking about it.