If you know anyone who drinks crystal lite or the generic brand and gets the small tubs in the tubes here's an idea. Those tubes are about the right size for a 6" figure and requires very little packing material. Just slap some wrapping on it and you should be able to treat it like a normal shipping tube.
I tend to cut up cereal or cracker boxes, basically whatever I can make fit to whatever I'm shipping. Since my family buys a lot of bottled water by the small palletful, I use those little cardboard trays to construct elaborate lightweight but strong loose figure shippers. A pair of scissors and 4 pieces of packing tape turn it into a superman level of indestructiblity (although its weaknesses are water and magic).