This design is compact, and differs from the classic Hampton by having the same connective functionality on both sides. If you're lucky with the dimensions of the USB stick as it's also rather easy.

Parts needed:
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

And...
A sharp craft-knife
Some good strong glue
Sandpaper

Step 1: Dismantle USB Stick

Make sure you don't have any data on the stick that you can't afford to lose, but they're pretty tough.

Each design will come apart in it's own way, but a sharp knife is all you'll usually need.

Step 2: Hack Lego

To cut the Lego pieces to length they were roughly weakened with a sharp knife and snapped longer than they would need to be in the finished stick. I used one Technic piece because the stick has an LED and I wanted a pre-formed hole for it.

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.

The holes were filled with lugs cut from scrap with a sharp knife, excepting the hole above the LED where I used a hacksaw to cut a red transparent lug (It's not the same plastic and it's too tough for a knife)

Step 3: Glue It Together

Once I was sure of the two halves I lightly roughened the two faces with sandpaper, applied a light drizzle of glue (including the filled-in holes) and clamped the two halves together.

Using quick setting 2-part clear epoxy it was set & finished in ~ 5 min

Finished unless you want to add bits to it that is (no glue)