I just get a little pastic container and cut the top and pt in some mesh for my nymphs. As for my adults, I don't need to use a very big cage either because they are very small. (Tropidomantid and Ant Mantid)
I started by looking in the recycling bins lol...obviously make sure that you dont use anything that once contained something harmful...but i used an old container that used to contain cheese puffs...anything will work really...just make sure the size is appropriate, it has proper ventilation, etc. (everything you can learn from other threads)