I use a steel telescopic pointer. It looks like a radio antenna. The end is blunt, smooth and bullet shaped. I wrapped the end with some scotch tape just in case.
You can use anything steel because of the super senstive screen. For the Lumia 920, I've seen demonstrations using a key. On the 520, I think there's a youtube video with someone using a knife. You don't necessarily need a stylus designed for capacitive screens, although those will work. They're very cheap on eBay.