I know there are some companies out there that make such beasts for certain cameras. For instance
www.lensmateonline.com sells an adapter kit for the S95. Their kit is around $30 for everything you need minus filters... which isn't too bad but I'm cheap... So I ordered:
- a 34-37mm adapter on ebay - $2
- 6 cheap filters UV, CPL, ND, etc - $10-$15
- snap in lens cap just because... - $2
- double sided tape - $5
I ground down the 34mm threaded part on the adapter so that i was left with a flat base as pictured. Then attached that to the front of the camera lens housing. Voila: you have a 37mm threaded piece to screw filters and the like into and it looks like it is going to work really well.
The 34-37mm adapter turned out to be too big for my S95. When ground down the flat part is not wide enough to attach to the front of the lens housing. So I ordered another adapter that is like 27mm-ish? to 37mm. This should give me a wider inner "flange" after I grind down the smaller threaded portion.
I also haven't received the real tape I was going to use yet, so I just used some scotch two-sided to test my idea. I ordered two different types of tape to try one is 3M and one is supposedly used for taping down LCD screens on a device like an iPhone when they are replaced. Both of them were pretty thin which is what I am going for so hopefully one of them will work well. The Scotch two sided like you get at Office Max is too thin and doesn't stay attached very well but worked well enough for my testing purposes. If you are brave you could just two-part epoxy this down and be done with it.
Cheap way to start playing with filters, plus protects your camera's lens if you just keep a UV filter on there. And it adds minimal (IMHO) bulk.
The main thing you have to be careful of is; does your camera's inner most telescoping part retract to a lower height than the others? On the SX260 it just -barely- retracts in further, so the slightly thicker tape I have ordered should account for this.