Even without a sandwich press, you probably already have all of the tools you need to create delicious panini at home. Choose a heavy skillet, preferably cast-iron, preheat well, and check the heat regularly for the best results. You just need to improvise a way to press down on the sandwiches. Consider purchasing a panini weight, complete with a handle, that rests on top while the sandwich cooks, or, use a second heavy pan or a brick wrapped in clean aluminum foil to weigh down the sandwich.