For AA and AAA batteries, we use plastic battery cases of the type that you can purchase here (and presumably from other stockists):
Incidentally, we've found that the latest breed of rechargeable NiMH batteries are much better than older ones in terms of holding their charge and delivering power to a vibrator. Check out Sanyo Eneloop batteries, or the own-brand "Good to Go" equivalent here:
A couple of years ago, we found that rechargeable NiMH batteries performed very poorly in toys (they just wouldn't deliver the same power punch) but, with this latest version, we're unable to tell the difference from alkaline (non-rechargeable) cells.
(I ought to add that I don't have any connection with 7dayshop.com apart from being a satisfied customer, and our tests are limited to only a couple of vibrators -- others may be different. Perhaps LH could conduct more detailed trials and consider stocking these new types of rechargeable batteries if they're confirmed to work just as well as non-rechargeable ones across a wide range of products)
I hope this is helpful.