The resulting case is waterproof and protects the delicate camera from scratches and mild shocks (i.e. knocking over on table, banging around in your backpack/daypack). The case is lexan (polycarbonate), a pretty tough material, but still, dropping it onto a concrete floor will probably break the *internal* mechanics and glass of the camera due to momentum, even if the exterior will be largely protected.
A friend cracked the glass of the LCD screen on his camera, which would not have happened if he had it in this case.
Step 1: Buy a Witz brand 'Keep-It' case, Clear style
Or, just google "Witz Keep-It Clear". If you have an REI store nearby, you can order online and have it delivered to the store for pick-up with no shipping charges.
Description of the case, from Witz' website
Size: 2.7" wide x 4.3" high x 1.3" deep
Features: Translucent color / Nylon lanyard with breakaway clip (or carabiner) / Portable size / 250% larger than See-It Safe® / 7 colors
In revision 0 of my case, I used some off-brand clone of the Witz case, which turned out to be slightly too small to hold my SD-500, but which might have held a slimmer SD-400 perfectly fine.
I used the type with a lanyard (which I later shortened to function as an extra locking strap); the carabiner style might also be useful.
Clear (colored or not) is nice, but not essential. The padding you'll put inside will obscure most of the view anyway.