+1 on cable ties.

I started out they way Vik describes, with the mudguard bolted to the chainstay bridge, the seatstay bridge and inboard of the rack on the single eyelets. I saw the Rivendell article on using ties and thought "No way, that looks totally amateurish".

I haven't had the bolt break, but while riding on gravel roads recently the bolt in the chainstay bridge vibrated its way most of the way out, and the tab that secures the mudguard to the seatstay bridge has snapped from metal fatigue.

I have now replaced all the bolts with cable ties.