Taking DIYNatural's idea in a more simple direction: you can use a clean sock, fill it up and sew up the end. I've used tube socks. You can even get fancy and include loops on each end (like some of the commercially available products do) or make it super simple and just knot the end (no sewing!)
http://www.diynatural.com/homemade-heating-pad/?awt_l=5DWbU&awt_m=3dyCQTaNZstFQkt