Well, it depends on the types of lizards that are available in your area...
Where I am in Florida, there's literally thousands of brown anoles running around our yard on a daily basis.
Whenever I need to catch any, I just use a net. When I try to use my hands, I often make them end up dropping their tails. I just get one of the large-ish aquarium nets (like 8"x6" ) from the pet store.
Creep up to 'em very slowly, drop the net over 'em, and then get hold of them through the netting. I just wrap my hand around them, mesh n' all - obviously I don't squeeze too tightly, heh, just enough so that they can't get out.
Then I just hold the net over a tub, tank, or whatever, and let my hand go, the anole just drops straight in, alive & kicking with a full tail.
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Axe
The Reptile Rooms