Gun cases work very well & are fairly cheap.
I used to work at a m/c salvage yard & I have a buddy that runs a suspension service shop. I have seen everything from ups lables on a shock (no box or anything :eek: ) to a hand crafted wooden box with compartments for each component.
The best I saw was a guy took a piece of PVC tubing (like 8" dia or so), glued a cap on one end, then wrapped his forks in foam, slid them in the tube, then wrapped his shock in the same stuff, slid it in, then screwed a PVC cap on the tube. Thing was 4.5 - 5 feet long.