I usually use thick walled cardboard tubes, occasionally empty pill bottles.
They're stiff enough to provide some confinement, but don't throw shrapnel like metal does.
There are a few sites you can find that will sell you such casings, such as the following:
http://www.pyrodirect.com/Category/Fireworks_Paper_Tubes
http://www.cannonfuse.com/store/pc/Paper-Fireworks-Tubes-c11.htm
http://www.skylighter.com/mall/product-details.asp?id=2483
It's probably easier than maker your own stuff and they're also pretty cheap. You can also buy plugs and professional grade fuse from most places like this, which is much nicer than trying to make your own.