I used a standard packing box (about 2ft by 2ft), filled with crumpled newspaper to catch led fragments. The real pellet stop inside however was a couple of old phone books that I placed in the middle of the box, held in place by a bit of tape and wedged in by the crumpled newspaper.
The main consideration with this kind of target is you can only shoot it from the front or back, unless you line the entire box with phone books. Lining the box directly with phone books increases the chance that lead fragments will escape however. I wanted the pellets to penetrate to the center of the box and then get stopped in the middle by the phone books, and the paper would keep the fragments from working their way back out of the entrance holes.
Other than having to shoot it only from the front or back, the other main drawback is that it's a bit of a hazardous waste dump after shooting it with a few thousand pellets. If you remove any targets from it before putting it into the trash however, the trash guys will probably still pick it up when you toss it out.