Welcome to 'My First Instructable'! I got this idea from dollar store clips(white one on left in photo) that didn't work very well - they kept falling off. These work only on mattresses with a welt or corner bead around the edges as seen in photos below.

I like this type of clip better than the elastic strap type because: 1) they don't use teeth to grip the sheet which may tear some sheets; 2) you don't have to lift the mattress to position a strap; 3) you can use these clips anywhere around the edge of the mattress not just at corners. If you make enough of them you could use non-fitted sheets which will stay put just as well as fitted. Of course fitted sheets sometimes don't stay put that well either, which is why I made these. Anyone who tosses and turns or sleeps with someone who does should have these clips!

They are easy to make out of scrap (or store bought) PVC conduit with basic tools.

Step 1: Materials and Tools

You will need:

Rigid PVC electrical conduit. 3/4" or 1/2". I have used both sizes. In Canada stamped with "CSA C22.2 NO.211.2". I believe it is Schedule 40 in USA. You need the wall thickness (approx. 1/8") for the rigidity required. Each clip is about 3.5" long so 4 clips is about 14" of conduit. Using a longer piece than required is easier for the cutting step.
Any type of wood handsaw. I used a cheap Stanley sharktooth type saw. (Don't use a hacksaw as the resulting slot will be too narrow.)
Medium to coarse sandpaper to smooth edges. Also a triangular or thin file works but you can do it all with sandpaper.
Side-cutters / wire cutters to trim slot at ends.

Step 2: Measure and Cut Clips

Mark lengths at about 3.5" for each clip.
Draw a line lengthwise along conduit as long as the number of clips you want times clip length. (i.e: 4 clips x 3.5" = 14") Place conduit on a flat surface and with a pencil also on the flat surface drag the lead along the conduit (or use a square if you have one). This is just as a guide for the saw cut.
I used a vice to hold the pipe but a clamp or a friend could hold the pipe also. Some extra length of pipe makes it easier to hold during cutting.
Cut lengthwise along your line with the saw at an angle as shown. Be careful not to cut into the other side of the pipe. Cut just past the 3.5" mark to use as a start guide for the next clip.
Now cross cut at your mark and you have the first clip cut off the pipe.
Continue cutting lengthwise and cutting off clips as you go. This is because trying to do two lengths at once may end up cutting into the inside wall opposite the cut.

Step 3: Cutting the Entry Slot

Using side or wire cutters, cut a small triangle of PVC on each side of the slot and at both ends. The angle of the cut is about 45 degrees. The cut length should be less than 1/2" about 1/4" to 3/8" is fine.

Step 4: Smoothing Things Out

Now use your sandpaper to smooth all the cut edges. I'm using a thin file in one photo to do the slot. If you use a file, make sure it doesn't enlarge the slot width much more than the saw kerf or the clip won't have enough grip!
To smooth the inside of the slot I also used a pencil to wrap the sandpaper around as shown in photo.
Sand until all burrs are gone from the cut surfaces. Try sliding a soft cloth inside the slot to see if there are any catches.

Step 5: Installing the Clips

To use a clip, pull some of the sheet to be secured down past the welt/corner bead.
Then pinch the sheet material around the welt with thumb and finger.
Hold the clip in your other hand at an angle so the welt and the sheet enters the slot.
Push the clip toward your pinching fingers and raise the free end of the clip up as you push. The clip should follow the welt until the whole clip is in place with the welt/sheet now inside the clip. See photo.
To remove clip just slide along welt while pulling down slightly and it slides off just the opposite of sliding on.

>=< Thanks for reading this, hope you find these clips as useful as I do. Just saw the Creative Misuse contest so I think I'll enter. Cheers, makers!