The absolutely best thing would be a sterile gauze pad, but if the bleeding is severe and copious, anything will do. I generally EDC a cotton bandana which could be used for this purpose if the bleeding is really significant. Hopefully you will have a glove or some sort of blood barrier on your hand if you are dealing with a situation like this.

My first EMT instructor, a Navy medic, once rode along to the ER with an accident victim, clamping a major blood vessel in her neck all the way. This was in the days before gloves were in common use.