How to get sprinkles to stick to the side of a cake?

This is a little hard to do without making an epic mess.

First, lay out a big piece of parchment or wax paper to catch the sprinkles that you are about to throw everywhere.

Place your cake on it's platter over the parchment paper and tilt it so that you can apply sprinkles to the uppermost side. Don't tilt it so far that it slides off! Apply the sprinkles with your free hand, pressing them gently into the frosting (some suggest wearing a glove, I don't). Turn, and repeat. Periodically collect all your sprinkles from the parchment paper.

I've never tried doing it, but from my experience with getting flowers to stick with cakes, I'd say that part of the trick is the right consistency of icing, and working fast enough before the icing starts to set up.

I'd probably apply the icing in three stages -- a crumb coat, let it set up, then a medium thickness icing so the cake doesn't show through, let it set up, then a quick thin coat of icing for the glue for the sprinkles. This way, you've already got the cake coated in icing, and aren't wasting time trying to make sure you have proper coverage, and it's not soft and think, making it so the whole side is trying to drip down.

For the actual application of the sprinkles, I'd work over a sheet pan to catch the amount that's going to fall off, and then take a handful and just try to pack it onto the side until it doesn't seem to be taking anymore, regularly collecting up the fallen sprinkles to re-apply. Once I did the sides, I'd dump the rest of the sprinkles over the top, pack it on like the sides, and then shake (or brush?) off the loose ones that didn't stick.

update Just saw @hobodave's answer (why I didn't get the 'new answer' message, I have no clue) ... the parchment paper is a great idea for collecting the unstuck sprinkles to reapply ... I'd still set it in a sheet pan, to keep them from rolling off the side.

Using wax paper sprinkle it with sprinkles, frost only the edge of the 1st layer, gently pick up the layer (I wear gloves), hold it by the top and bottom and roll it over the sprinkles like a wheel, place it on your cake plate, and now you can frost the top of the 1st layer which will be the middle. Repeat for the 2nd layer, using clean wax paper set-up of sprinkles, now place the 2nd layer on top of the 1st, if using filling pump it in and frost the top that 2nd layer, and then sprinkle th he top of your cake. I've done this many times and have always been successful. Have fun with it.