[sage]

Your not going to find a method of connection that does not leave a mark, The trick would be to minimize the size of, and possibly the location of the mark. compressing them in a basket is the "normal" method of doing things but you can't anodize - shake - anodize. The ano coating is non-conductive and when you re-distribute them they will then be touching on non-conductive surfaces and that will be the end of the anodizing process.

I don't think screwing them into anything is going to work either unless you can screw them in tight. Like into a plate of aluminum. But then you have the issue of the un-anodized area being in the threads and under the head. Maybe that's not a problem.
Lead is going to be too soft to get them tight enough - I think.

There is heavy aluminum expanded metal that you might be able to screw a screw into the hgaps of and get it tight enough. That would save you threading a million holes in a plate. The trick would be to find a gauge of that that suits the size of the threads. The problem there is you'd have to strip the expanded metal to use it over again. The plate might be better on that count because the used holes would still be clear of anodizing.

Sage