I lost my retainer about 6 months ago. It was a clear invisalign retainer, and I really didn't want to pay 200 dollars to get a new one. So I made my own, and they work great.
The pictures show the finished product.
Notice that they are white, so they are only really good for night time, unless you want to look like a dork. Usually after 6 months you can only wear them at night anyways.

Step 1: Materials/ Tools Needed

A glass cup
Water
Around 5 grams of Shapelock plastic, aka friendly plastic, per retainer
Microwave

The best place to get the plastic is by getting a 35 gram sample for 5 dollars here
http://shapelock.com/page3.html

Step 2: Melting and Forming

If this is your second retainer you are making, make sure you have the previous one in your mouth. This way they will fit together when you bite down.

Fill up the glass cup with water and put it in the microwave until it bubbles (around 2 min). Pour the shapelock plastic into the water and let it sit until it is all clear. Use a fork or something else to press the plastic together into a ball. Once it is totally clear, take it out with a fork and pull a chunk off of it, around 5 g. Then shape it into a half ring in the shape of your teeth. Make sure it is wide so you can fold it over the teeth. (See pic)

Do not try to press it onto your teeth yet. Once it is in a basic half ring shape, put it back into the water to let it soften again, then take it out and fold the edges in. (See pic)

Step 3: Fitting

Once that is done, soften it again by putting it in the water, then immediately take it out and place it in your mouth, over your teeth (top or bottom). Try to create suction with your mouth to get the retainer to fit snugly over your teeth. Use your fingers to press the plastic around your teeth also. If this is your second retainer you are making, bite down so that the other retainer makes an impression in the current one. This will ensure that they fit together.

Leave the retainer in your mouth for a few minutes while it hardens, then take it out.

If any part sticks out and is uncomfortable, it can be cut off with scissors or tin snips.
If it still is not the way you want it, resoften it in the water again and reform.

This plastic can be melted as many times as needed.