How about just an appropriately sized cooler with the lid that came with it?
I use a 3-gallon cooler, it holds heat pretty well because I always try to fill it with as much grain as I can. Sure I'd like a 5-gallon so I could make doppelbock, barleywine, strong ales, etc., but I don't need my mash to warm up all that extra cooler material for my lower gravity beers, and I don't need a ton of headspace to lose heat in.
Know your typical batch size, know the weight of your typical grain bill, plan accordingly. If you still need insulation I would think blankets would be the way to go.