A small box, I used one that my dog's eye drops came in, (steroids for his corneal abrasion)
Step 2: Step 1!
take the box and cut it a bit more than halfway, so you have a box with 1 open side and a box with 2. Then cut like in the picture and make a hole in the biggest flap.
Step 3: The Pin
For the pin, just take the paper clip and bend it in a circle or square or whatever shape you want, leaving a straight line about an inch and a half long. Cut off the excess of the pin and stick it in the grenade, by taking the two small flaps and sticking them inside the "fold" of the paperclip/pin, and then stick the straight part through the hole and put the big flap where you put the little ones.
Step 4: In Action!
I have a video of it in action but my camera isn't working right now. It won't let me put the video onto the computer so you'll have to wait a little bit for that... sowwy!