I used to use this technique when I was younger, but have since forgotten it until now.
I use to use regular household baby powder as a dry lube, and it was quite effective as a dry lube. It's not very messy at all. It's much like jerking without any lube, but it allows your hands to move much more smoothly over your penis and balls and pretty much whatever else you put it on. The only drawback is that it may dry you out more than you like, as it's intended use is to keep the body dry.