Yes, I found that one to be dis-satisfying as well. I made my own, but my profession allowed me to make it out of a chunk of steel. What I'd recommend is using is a heat-molable plastic like Shapelock or Insta Morph. I've not heard of Friendly Plastic before, and it seems a little different. I'll have to look closer at it, but it looks like it'd work too.
So basically getting some of that and just forming it by hand. As for a pulsing LED, that gets more complicated
. There might be already-built little circuits you can use, but if you can't find those, I'd recommend an LED with some tiny little switch on it that you can access. For battery, something small like this would do.
You don't need to order that many though. I'm sure your local Target or Walmart or supermarket or drug store has them.
And LED can be bought at most electronics stores like Radio Shack. It should work appropriately being hooked straight to that type of battery. Try hooking it up one way, and if that doesn't work, the positive and negative need to be switched so just flip the battery over. If you use a switch, just make it so the LED pin goes through the switch, instead of straight to the battery.
For holding the top and bottom together, what about some strong magnets? A couple of neodymium magnets would probably hold it together just fine, and to get into it you'd just pull it apart. They'd probably have to be glued in well so they don't pull out of the plastic when you try to open it; I'd think hot glue could work there.