You can buy these covers inexpensively from various sources.  I believe CNC4PC has them, for example.

But lately, I’ve come across two different folks who made their own.

Here is Connor’s version from his CNCZone G0704 conversion thread:

Step motor cover from PVC Lumber…

It’s machined in three pieces from PVC lumber and then glued together.  I’ve seen several projects made with PVC lumber and it looks like a worthwhile and easily obtainable material.

The second example is from Hoss:

Hoss’s 3D Printed Stepper Motor Cover…

Hoss used his Prusa 3D printer to make his covers.  I love the “G0704” logo.

These three examples are great for comparing technologies used to create plastic parts.  In the original, a mold was made and the parts are injection molded.  They look great, are very functional, and they’re pretty cheap to manufacture.  Connor’s version involved machining the part from solid plastic stock.  The shape of the part required him to make it in three pieces that would be glued together.  It had to be done this way because without a 5-axis mill, the cutter couldn’t reach all the nooks and crannies in one go.  He might have been able to create a fixture of some kind to make it happen on a regular 3 axis mill with multiple setups, but it would’ve taken some doing.  Parts that require machining on so many different sides are more trouble to make with 3D machining methods.  Hoss used a 3D printer to do what’s called “additive machining”.  Instead of removing material in the form of chips, his 3D printer extruded plastic that was fed to the extruder nozzle as monofilament line.  If you look closely at the picture, you can see the striations as the part was built up layer by layer.  It’s a slow process, but he was able to make a very complex part on the printer that came out looking great.  With 3D printing, you can make shapes that are impossible to machine or mold because you can create features on the inside of a hollow surface that can’t be reached otherwise.