A friend gave us a HUGE sheet of plastic, and I folded it in half and used duct tape to seal 2 sides. I left the 3rd side open for the fan. The fan blew the bubble up nicely, but I would have liked to have 2 fans. It was fun to play in the bubble, but it was pretty hot, so we didn't stay in there too long.
I have to admit that I was a little unsettled by the idea of essentially creating a plastic bag for my children to play in since I've seen warnings on to keep kids from playing with plastic bags my whole life. However, they were never unsupervised and were never in any danger of suffocation (I promise, Daddy!...my dad was very concerned about this!)