I've made several. Just take a small piece of fairly stiff leather about as thick as a cap is tall. Punch a series of holes around the edge the size of a cap and about the width of a cap from the edge. Cut a little slit from the edge to the hole. Experiment.
I made one years ago from a circle cut from a thick old belt. I still has some of the caps in it from 40 years ago. I never had a problem with caps falling out, but I didn't cut a slit in the edge but just the hole with a hole punch.