Here is what I have built in my shop.
A 8 foot x 4 foot high box. I had some scrap netting and put it around it except the front.
In the back I used some 4 inch foam out of a travel trailer. (used for the beds)
I only shoot reballs because of the mess.
There are lots of other options in what to use. I like the foam in the back because it does not bounce back out.