I use either box files or an A4 sized semi-opaque platic box that Hobbycraft sells. It's quite handy to be able to see what's in it without opening because, even when you start out with the best of intentions, things get moved around to try out different army combinations. Also, they are "proper" A4 sized, so there's no need to muck about with extra strips around the edges, boxfiles are larger than A4 and require this. I've also got some Really Useful Boxes (from Staples), they come in some handy sizes and are often on special offers.
I've found the magentic stuff metal sheeeting sold at shows to be quite expensive, I get mine from
http://www.magnetic-paper.com/shop.asp?ID=9 where an A4 sheet works out at about £1.30 if you buy 25. Postage is free and it generally arrives in few days. Rob - I've recently bought a batch so if you want a few sheets let me know.
Kevin