A standard USB storage stick
A couple of pieces of Lego 3 x 16 x 48*mm
*min, or 1 piece 3 x 16 x 96 mm
A sharp craft-knife
Some good strong glue
Step 1: Dismantle USB stick
Each design will come apart in it's own way, but a sharp knife is all you'll usually need.
Step 2: Hack Lego
The internal lugs were removed (as far as necessary) with a sharp knife.
The PCB was 14 mm wide, a little over the 12.5 mm inner diameter of the Lego piece. I cut channels in one of the halves with a knife to accommodate edges of the PCB, the other half would sit slightly on top of the PCB.
In the previous build (very last pic last step) I just shaved the inner edges of both halves diagonal.
Once both halves were cut & cleaned they were tested together, cut a bit more, scraped a bit and generally refined until the two halves went together nicely.
- The ends were trimmed to length by clamping the two halves together (without the USB device) and sanding them down as a pair.