This is the $13 Chain Mail and Rubber Gaming Dice Bag (it's actually half aluminum rings and half rubber rings) available exclusively from ThinkGeek. It holds two to three dozen dice and is perfect for wearing strapped to the front of your breeches. Don't have $13? Just do what I did and fashion your own with chain mail cut from the chest of a slain enemy. "You didn't slay any enemies." Then how do you explain the dice bag? "It looks like it was made entirely from the pull tabs of Monster Energy Drinks." How did you know?! "They're all green." I drink at least twelve a day you know.
Keep going for one more shot of a bag at max capacity.
Thanks to Cameron, who informed me there's absolutely nothing wrong with the dice bag he fashioned from a slain orc's scrotum. Admittedly, that thing does hold a ton of dice.