I use a $7.46 Rosco Strobist collection, a 55-peice kit, 1.5x3.25".
To attach it, I use a Scotch double-sided tape permanently attached to the flash (it is transparent). Before attaching a filter, I displace the protective cover (with the words Scotch on it, in the attachment below) just a bit (the sticky part is pretty strong). Cheap, simple, easy, pocketable.