I recently caught wind of Nathan Gallardo‘s guide to building your own microphone blimp for around £10 which can be found here. Now unfortunately he doesn’t give you a full step-by-step that I can see but his post links to a photobucket picture set where you can get the general idea of methods and materials used. (Just look at the photos from bottom to top).
The steps look pretty straightforward and solid. If you have a free weekend this might be the project for you!
Edit: Here is the step-by-step.