Tom said "This is probably a no-no, but I have for many years simply picked
up
queens by the wings and gently put a dot of quick drying paint onthe
thorax."
Actually, Tom, as far as I know all the experts suggesting picking up the
queen by her wings, and the only queen breeder I personally know has his
people do just that for marking.
Picking up by the wings is much safer than the thorax, as there is nothing
to squeeze.  That said, it is real easy to "miss" trying to grasp both
wings, which means you have to let the queen go and try again.  If you try
to hang on to one wing, she will twist and can actually tear the wing
off...ugh!
After grasping both wings, let her hold on to your fingers with her legs,
trapping them if it makes you feel better.
I do so little queen catching that I always practice first on a couple of
drones.
Someone mentioned the clamshell queen catcher.  This works great, but is
only good for catching a queen, not holding her.  That said, it is the best
tool I know for moving a queen from a hive to a nuc or vice versa.
Lloyd
Lloyd Spear Owner, Ross Rounds(tm).  The finest in comb honey production.
http://www.rossrounds.com