I suspect that if electric zapping or snapping a rubber band work (I don't know if they do), they do so by raising your level of attention to the problematic behaviour. A claim of Perceptual Control Theory is that reorganisation -- learning to control something better -- follows attention. Yanking your attention onto the situation whenever you're contemplating or committing sinful things may enable you to stop wanting to commit them.

See also the use of the cilice.

I've mostly seen that technique described as a way to cope with self-harm.