I agree that sandbags are the way to go. I tried one of those vise type things that you clamp the whole gun into and had no luck with the thing. Mine was a Wal-Mart cheapy so maybe there are better ones out there.

I usually start by sighting a new gun at 25 at a bench on sandbags.

If you can do it, a buddy of mine showed me a trick if you have a gun or scope you are having a tough time sighting in. He takes a big package of copy paper and goes out to a hundred yards and staples them all together so there is a 4' x4' square of white paper (or whatever size) then puts the target in the middle. That way if you way off the target you  can still-hopefully-see the bullet holes on the white paper easier than the wood target backdrop and "walk" the gun's point of impact onto the target.