SignaGel is a conductive gel. It'll mostly stay in place and stays wet a lot longer than the sponges, but it is a little gross. Get it from a medical supplier rather than Amazon, where the individual tubes are massively overpriced. You might also be interested in 10-20 paste, which is a sticky conductive putty. It's a bit more expensive, but it stays put. Instead of the bands, you can also try a neoprene "swimcap" style holder.
Some of the tingling is unavoidable--the currents are driving fibers in the skin--but you can do a few things to reduce it. First, make sure there's good contact with the scalp: fully coat/saturate the electrodes and make sure they're pressed tight. The lower the impedance, the better. because the "dose" is specified in terms of current and you want to use as little voltage as possible to deliver that. Second, gradually ramp up the current instead of just switching it on/off. The sensation will diminish a bit over time anyway, so slowly increasing the current will make it more bearable. The difference between on/off and a 30 second ramp is really striking! We've used a topical anesthetic to block sensations, but it's a giant pain--it takes an hour to kick in and you need to tightly cover it too. Finally, be careful because you can burn the skin!
A great suggestion, thank you. The issue with this approach is that I have longer hair and a gel may have more difficulty bridging contact between the device and my scalp, plus it likely requires more effort to clean up. I might look into this.
Maybe that would make the experience a little better.