You will need a baking dish or bowl and sand, dirt, rice, or gravel.
Fill a 2-inch-deep (or deeper) bowl with sand, dirt, rice, gravel, or other nonflammable material.
Stick the appropriate number of candles in the dish each night (placing the Shamos on a slightly elevated mound) to create a makeshift menorah.
Be Aware
Do not make a menorah out of wood. Hanukkah candles must be allowed to burn down completely, and wood presents the risk of fire.