There was a magic programme on a while ago on sky, one of the guys showed his racquet to have no strings but was able to bounce his ball with it

I beleive this is the very same program as this post has been refreshed from quite a while ago

Tom

I would design a real strung tennis racket that you could put your arm through, like a giant cigarette through quarter.

Update on that...design the gaff to fit in an unstrung racquet (may need a few versions as size varies sometimes). That way you can perhaps set up the piece in advance if you can borrow an unstrung duplicate of someone's racquet. Then you could borrow the racket from the audience, switch it for the gaffed one, do the penetration (horror for who you borrowed the racquet from!) display unharmed, switch back and return the racquet.