I use plastic sheeting, the kind used for home construction. It covers almost the entire lathe except the parts that are actually turning/working and is held in place with magnets. I give it a light spray with WD-40 to make the chips stick. When I'm done, I take it out and spray all the chips off and let it dry in the sun before storing it for the next use. Cheap enough for the limited use it sees and it works well. I do admit that I use this mainly for cutting cast iron as I have not done any grinding on the lathe.