I've got a few of these. They're grippy, they're surprisingly weighty, and they're pretty good at keeping your cables on your desk.

I also have some sticky-back cable grips. A quick search found me these, which aren't the same as the ones as I've got, but it looks like they'll do the job.

But, then again, I've also got holes cut into my desk and a few Desk Grommets strategically located.

That's when I haven't simply cable-tied (or velcro-tied) the cables to my monitor mount arms.

Edit: while looking for more examples of cable-tidying porn, I found these cable hooks. Tempting.

Edit Edit: They don't appear to be easy to find, but it occurs that a set of cheap, but not too cheap, storage hooks would be suitable. Something like this, but maybe with less overkill.