For cordless drills and low speed/high torque corded models, an alternative to the No Wrench Method is to grip the hex key in a vise, put the drill in reverse, hold it tightly with both hands and squeeze the trigger.

However this method is not for beginners as it is not without risk: the reaction torque could hurt your wrist and the locked rotor current could burn out the drill motor.

If the drill has a mechanical speed selector and/or clutch, make sure to set the gear to the lowest speed and/or the clutch to the highest setting.