It may sound silly but carboard is your least expensive and most adaptable material. Yes there are plexiglass/metal guards and trays to direct/collect the chips but most don't quite fit as well as something you construct yourself. In the machine shop I used cardboard, cut to fit when needed, on a regular basis to contain chips from the milling operations. If you want something more permanent you can get the carboard fitment you like and just tape the sides/bottom together with masking tape. You will then have the dimensions for a "flat pattern" to be made of whatever material suits you. CAD (cardboard aided design) works to get a permanent tray right the first time. I still use cardboard for various operations in the shop.