There are some little plastic mounts used for attaching mini servos together. They are NOT strong enough to support any weight, but they work well enough for playing with the servos. I used this assembly to test some servo control ideas, including inverse kinematics for positioning. More information available here: http://blog.notzero.net/2009/11/playing-with-servo-motors.html
The models were made in SketchUp. The parts in the SketchUp file are all scaled by a factor of 1000 (meters instead of mm), because SketchUp gets weird with small dimensions.
I've included a rough model of the servo motor used, which can be used to design other parts that attach to the motor. The mini servos I used are less than $4 each from DealExtreme: http://dealextreme.com/details.dx/sku.20023