A gentle push on the component with soldering iron - and it sinks into PLA, sticking to it. Larger components can be fixed with superglue (multiturn trimpot, for example). Then I can wire them up with thin wire. And bingo, a small board made out of nothing!

This is a current regulating circuit based on LM317, with fine current adjustment. LED lights up if dropout is above 2.5 V, which is enough for LM317 to regulate properly.