I just built a wheel with moderately deep section (the IRO “Cold Fusion”), and had a heck of a time starting the nipples without dropping them inside the rim. I hope my missing nipple didn’t end up inside the rim*…
The last time I used these rims I didn’t have that problem but no matter. I devised a simple tool that helped immensely – a screwdriver (slightly magnetic) with an aluminum tube around the end to hold the spoke nipple. 
I had some thin-gauge aluminum tubing left over from making a spacer to mount my dynamo light on my Nitto M12 rack. In fact, I used the exact 3″ tube I’d used as a spacer until it deformed too much.
*My wife and 11 year old son both think the term “spoke nipple” is hilarious.