A purpose-made chest seal is hands-down the way to go. My trauma kits have a Hyfin Vent Twin Pack -- because sucking chest wounds often have exit wounds associated with them.

Either Saran Wrap or petrolatum gauze (pre-impregnated with petroleum jelly) is way better than nothing but if I don't have a real chest seal I would prefer good tape plus a ziploc bag. Cut the ziploc open in two halves, tape three sides (the zipper side should be cut off or used as the venting side) and if you can get your patient to exhale and hold it for a moment apply it then. It's entirely acceptable to tape all four sides to create a non-venting seal if that's the protocol you were trained to use.