How to patch over paint

I would like to hide the dents left by the nails/staples used to apply molding and trim, but I've already painted over them. I was hoping the caulking and putty efforts had worked better, but I'm not liking it now. Is there something that will adhere to the paint? And I guess I don't care... If I have to do some sanding that's ok. My biggest frustration is the way the materials I used seemed to shrink and leave those dents.