We keep one made of frozen Karo syrup, which holds a form if we mold it. We filled a plastic bag about 3/4 full with the syrup and enclosed it in one more bag to be safe, releasing as much air as possible out of each bag. One of the benefits of making your own ice pack is that it can be as large or as small as any bag—helpful if you’re using it to soothe a larger area on the body or to wrap around a limb or joint.
Other people make their own ice packs by freezing a resealable plastic bag with liquid dish soap (Dawn and Palmolive seem to work best) or a slurry of rubbing alcohol and water (one part alcohol to two parts water). I’ve heard that you can also make your slurry with water and vodka, but, really, why waste the vodka?