If you check your local game/hobby store they should carry some foam trays for transporting figures. They make different depths and you can make the figure either stand up in a deeper one, or lay down in a shallower one. "Army transport" is the name of the cases, but other companies make the foam trays as well. Here is one listed on ebay, they have all the other sizes as well.
http://cgi.ebay.com/Army-Foam-1-Tran...photohost ing