Not sure if you can get them anymore, but I own about 5 pistol carrying cases (complete with eagle-soaring-over-a-mountain-lake relief carved onto the front!) that I picked up at Walmart, for about $5 at the time. It consists of 2 layers of "egg-crate" foam and one solid block of foam. It looks pretty ridiculous, and I'm sure my mom was mortified at what the store employees thought at the time (why is this woman buying her teenage son 5 pistol cases?!).
It's not necessarily perfect for mini transportation, especially large figures, but most rank-n-file troops and man-sized models can be snuggly fit in, and the depressions leave a lot of room for arms and weapons sticking off to the side.