Lots of replies coming. I have two basic types of indoor traps.
Some type of square enclosure, fill with duct seal, happy shooting. I recommend something with a metal backing so you don't blow the back off depending on the fpe.
The other is basically a wine box. I line the inside and the back with 1000 dernier ballistic fabric. One layer on the side to catch any stray pellets, about 8-10 layers on the back. 4 layers of this fabric will catch anything you can through at it under 100 fpe. 10 layers for additional safety in case I'm whacking the same spot a lot. Then I fill the rest of the box with old towels or throw away clothes the kids grow out of - this helps quiet the shots down as it slows the pellets before they hit the back.
Both might run you $30-40 due to the duct seal or ballistic fabric. I haven't tried rubber mulch but that seems the most popular option, might get messy indoors.