You can use a 5 gallon bucket laying on it's side, with a board about 3 inches high and perhaps a foot long, tied to the front bottom edge of it, so it doesn't roll, and to keep in the hay or shavings. Or a crate of any kind. Basket or cardboard box. They aren't particular. If you use the box or crate, it doesn't need to have a top. They will just hop in, lay their egg, and hop out. The box can sit on the floor--it isn't necessary for it to be mounted on the wall.
From there, you can go on in different steps working up to a quite elaborate nest, like the McMurray one, but I find the above suggestions to work quite well, if you don't have a huge income.