2.5 mm hard cardboard, 5 mm foamcore, double-sided tape. Tea is optional.
I did not take pictures of the process, but it is quite straightforward: I printed a template, attached it to a sheet of foamboard and cut along the lines. Put double-sided tape on the backside, then attached it to a sheet of hard cardboard. The result:
A bit crude, but it does the job.
Keycaps are kept in place by the pressure from the foamboard 'walls' and by the double-sided tape — the tape is necessary because foamboard is more like cardboard than like foam, and it does not conform perfectly to the keycap's width so the pressure is not even. As you can see I added strips of plain paper on the bottom of the slots to prevent the tape from sticking too much to the keycaps:
Next time I'll try to find some kind of foam to avoid using tape and rely solely on pressure from the foam to keep keycaps in place, like Ducky does. But for now it works well enough and the double-sided tape does not leave any kind of sticky residue under the keycaps, so there is no significant downside.
I already had the tape on hand so one tray cost me less than 3€, and it took about and hour to make two of them (cutting the slots properly was the most tedious part). I could probably add another panel and some sort of binding to store them vertically like books, perhaps later.
Here is the template if you want to make some for yourself (don't forget to print in landscape mode + 'Actual size'): https://dl.dropboxusercontent.com/u/104 ... mplate.pdf
If you have any suggestion to improve on the idea while keeping costs low (which was the main goal), shoot!
