i always seem to have little things that other people ship cpu's in sitting around. let's see...you could bundle it with a motherboard and put it in that.
alternatively, you could get some of that soft foam stuff that they put motherboards on, cut out a piece big enough to sandwich around the processor (enough to totally envelop it), then wrap that in bubble wrap. that's pretty much how my oem brisbane cpu arrived from the egg lol.