Yes, you can use a sock - or you can challenge yourself....
The hardest part is winding/installing the bobbin. The rest was cake.
Cut your frabric in a rectangle 3/4" wider and 3" longer than your shield(measured as though it were flat). After you sew the 3 sides of the rectangle turn it right side out and fold the extra 2-3 inches over and sew just the short sides of that flap. This will form a little retention flap to keep the shield from sliding out.
I've been using one just like that for about 15 years but mine is blue and green plaid flannel, works fantastic
Technically this one was supposed to be a test before I cut into the felt I have left over from a fiberglass project but this one turned out quite useable. I think the point of diminishing returns has been reached.