A roller of some sort is essential. It needs to be made of something the clay doesn't stick to, and acrylic seems to be universally popular.
Sculpey does one but clayaround.com sells a cheaper plain acrylic roller which is fine, but the ends are sometimes a little sharp. A quick rub with some sandpaper will make them easier on your hands.
Another alternative is a short piece of 22mm polypipe from the local plumbing shop, with the edges sanded smooth.