Constructing local hidden variable (LHV) models for entangled quantum states is challenging, as the model should reproduce quantum predictions for all possible local measurements. Here we present a simple method for building LHV models, applicable to general entangled states, which consists in verifying that the statistics resulting from a finite set of measurements is local, a much simpler problem. This leads to a sequence of tests which, in the limit, fully capture the set of quantum states admitting a LHV model. Similar methods are developed for constructing local hidden state models. We illustrate the practical relevance of these methods with several examples, and discuss further applications.