But a tennis ball doesn't have a lot of gluing surface because it's hollow, so it won't stay on for long. The "traditional" ball-shaped end is made of cork.
Personally, I prefer the foam sleeve - it doesn't catch on things and it fits my hand better.
Both are available from Murray's - http://www.murrays.com/mm5/merchant.mvc ... re_Code=MS
Foam sleeve is only $5; cork is $16.50
Use hairspray to put the sleeve on - it acts as a lubricant / solvent glue. Spray into the sleeve, then quickly slide it on.