Another trick is to use Vaseline. Rub some Vaseline on a balloon and slowly poke a hole into the balloon, leaving the object embedded. The Vaseline will hold the balloon material together. This can be a bit tricky, so you may go through a few balloons before getting it right, but you should be able to make this work.
Make sure to glob the Vaseline in a small area. Don't spread it too thin or the balloon will pop. You can try experimenting with other types of tape or other types of greasy material. Who knows, maybe you can find other ways to prevent the balloon from popping.