I have been using a 1/2 gallon milk carton filled with dry cat litter for indoor shooting with my Daisy 880. The advantages are:
- low cost
- Durability. Just shake to distribute pellets and tape up any holes
- With 10 pumps from my 880, the pellet did not pass through (I usually shoot 2-3 pumps)
- Easy to set up
Of course, you can use a bigger box if you cannot reliably hit a half gallon milk carton. You can also substitute sand, rice, and other loose materials if you don't have cat litter. I always have a plywood backstop to avoid punching holes in the wall.