These days, gift bags can be purchased at dollar stores and other places without breaking the bank. (These are from a dollar store for...yes, $1.00 each).
But if you want to recycle and save money, an empty cereal box and some paper will also do the trick. Here's a step by step Instructable that uses maps or sheet music (or any other paper you like) to do the trick.
And if you prefer a video tutorial, this one adds a pretty silk flower decoration.