I think Slip's way of using belting is the least expensive and effective way. If you can find a farmer who is changing out his belts in his round baler; that might be a good source of belting material.
An issue with belting is that it can sometimes get caught or snagged and get ripped off if you are not careful. This is where a chain guard has an advantage but they are a LOT more expensive.
Below are some picture examples of some home made chain guards that I have come across on the internet over time. With some angle iron, steel rod, chain, and attaching hardware you can make your own but there will be some serious elbow grease involved drilling holes and cutting chain & rod.