I prefer using small boxes. If you are willing to invest a little up front in things like boxes and bubble wrap, you could try Uline.com. (They have a minimum purchase, last I checked, but you can get a nice combination of items in that miniumum purchase.) You could also try a site such as Staples.com for smaller purchases.
Some people use bubble-lined envelopes.
Some people use the smallest flatrate box from the postal service. That commits you to a pretty big postal charge for a single marble -- nearly $6. But that price includes $50 insurance, so that's a good thing.
For small numbers of marbles in excellent condition, I use 2"x2" ziplock baggies to make sure condition stays the same as I described it.
If it's a near-mint condition group, I just wrap them snuggly in larger ziplock backs and bubble wrap cushion.
Hope there's a useful idea in there somewhere.