What’s the best way to set a custom white balance?

For creative photography I dont bother. The "correct" white balance (if it even exists, many scenes with different coloured lightsources have no single white balance) is rarely the one that looks most pleasing so I pick the balance in post that looks best. White balance alters the emotion of a scene from cold stark blues to happy warm oranges and is part of your creative arsenal, not something to be trusted to an inanimate object.

It can be useful to shoot a custom WB to save time and get you close, and for this any fairly neutral constant tone object will do, white paper is usually the closest to hand.

IMO it's not worth spending the money on specially made white balance solution once you realise that every single object in a scene reflects light onto every other object, meaning any white balance you get is aproximate. You'd be amazed how much better things look when lit by a single source of white light in a black studio which is free of the dirty mixed up secondary reflected reflected light!

If you're doing any sort of calibrated commercial or scientific project that requires accurate colour reproduction shoot a Gretag MacBeth colour chart in every scene/camera angle.

http://www.warehouseexpress.com/webcontent/product_images/large/91/1011490.jpg

This is much more effective than a grey card as in addition to white balance it checks the full color rendering ability of the lightsource and your camera and allows you to compensate for inadequacies in parts of the spectrum by building a custom colour profile.