Robert - If you are talking alien bees it is only the modeling light that puts out heat, right?
As Cem says aluminium foil, but the black is expensive, or various cans and kitchen utensils. I have cut both ends out of a can for a snoot on a Vivitar 283 hair light, painted bunt pans and angel food cake pans for snoots etc on Spedotrons. Found some black 1/2" light grid that isn't perfect but works fairly well as a gid light when fitted into the angel food cake pan.
Look around and you can find all kinds of things that might work and don't cost 50-100 bucks. Not sure how paying clients would feel about my kitchen utensil lamps but they do work.