He's either going to have to put up with being bandaged for a while or you'll have to put an Elizabethan collar on him, I'm afraid
. What Katie said, I assume the stuff is what I call vetrap, the bandage that will stick only to itself, but what you're probably going to have to do is bandage him nine different ways from Sunday, bandage the paw, then up the leg and in a figure 8 around the other leg so that he can't just shake it off.
Good luck! I know how frustrating it is to keep a bandage on a cat. When Melichus had surgery on his ear for an aural haematoma, the ONLY way I could keep him from shaking it off (obviously an Elizabethan collar wouldn't keep him from doing this and he didn't need to be shaking that ear around,) was to cut the toe out of an athletic sock and put that over his head and ears. He looked like a darn rat, but at least the ear could heal in peace!