Personally, blunt candor can work as well. I do not let anything slip, if I think someone needs some direction or coaching it basically happens in realtime. There's really no need for a formal review if feedback is constant. Sometimes the feedback can be more general, I feel someone needs some hints I just give it to them.
I don't make it personal and don't expect people to take it personally, it's jarring at first but quickly it just feels really quite normal.
Technically, there are still room for performance reviews ... but if as a manager you're telling someone in a review something they're hearing for the first time then you've failed. They should know right away.