If you buy drill bits or other small tools as single purchases rather than as a set, you usually don't get a storage case. Why not make your own with a small plastic case and Sugru?
Instructables user Chimera Dragonfang shows us a clever way to create an insert with Sugru in a plastic case for holding your bits safely and securely. You'll just need a small plastic storage case and a couple of packs of Sugru. Hit up the post at Instructables for the step-by-step instructions.
Sugru'd Rotary Tool Burr Case [Instructables]