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Time for a home craft project!
All you need is some cloth, skill with needle and thread, wire-cutters, a metal file, a button, and a wire clothes hangar. And if you have really good teeth, you don't need wire-cutters. And if you have some wires that you can flex, yet will hold pressure, even better, but a wire clothes hangar will probably work best.
First thing you want to do is pick out enough cloth. Make sure it's sturdy stuff, stuff that isn't going to tear easily. Then cut yourself a long strip, about twice the length of your PsP. In fact, measure how thick it is, and add that much cloth (if not just a little bit more) to the length.
Then sew the long edges together to make the bag. Use good string, something that won't break under abuse, and use a sewing pattern that's just as tough. Sew it a couple times over if you have to. Tug on the sides, but not hard, just to experiment with how tough it is. Strengthen it to how much you want, the more work you put into it, the stronger it'll probably be. Making two bags, one that fits in the other, might work as well, though you'll need more cloth, and that's a little more complex.
Straiten the clothes wire as much as you can. Cut off two small strips from the clothes hangar and file the edges. If you have extra cloth or even some foam, cover these strips. Cut two holes in the bottom of the bag and stick the strips into the bottom, and bend the edges so that they pin themselves to the bag, in a way. This is your basic homemade PSP bag. You may wish to add two more such holders at the top to give it additional structure.
Now, stick your PSP into the bag. File both tends of the wire, it should be smooth and round. Remember to protect your inhalation, metal filings are bad for your lungs. With the PSP in the bag, wrap the clothes hangar around the PSP. If you made the bottom (or even top) strips long enough, you might even be able to wrap the bottom wires around the clothes wire. You should have two endings. Bend them so that they hook onto things. Put them on your treadmill, your doorknob, drawers, etc. Whatever they'll stay on. The wire, provided it's stable enough, should take the brunt of any fall, as well as prevent it from falling.
If you're a more experience crafter, you'll probably make up cooler stuff than this. Take some time and experiment with what you've done. In all likelihood, you'll come up with something better than me, 'cause I just made ALL of that up on the spot, I don't know how to sew, and I've never made a PsP bag.
But it's interesting enough that I just might try making one using this process...
Try working with shoe string and elastics.