Cardboard or Plastic
You can make a zapper out of cardboard or plastic acetate. The trick with these toys is that they need to be cut from a sturdy material and glued together. The template listed under Resources is an excellent start for this kind of device, although feel free to design a gun based on your personal preferences. You will need to cut the hole in the front for the IR camera to see through, and if you're going to plug a Nunchuk controller into the gun first, you will also need a pass-through point for that. This zapper design also calls for a pair of hair elastics or rubber bands to hold the gun in place while you're playing your game.
Existing Toy Gun
Try an existing toy gun, such as Airsoft or pellet pistols, as the base for your Wii Zapper design. Carve a space into the top for the Wiimote to sit in, or gut the Wii Remote and install its innards into the toy gun. The only challenge with the hollowed-out design is that you will need some way to pull the B trigger through the gun shell. This means you'll need to attach some kind of pull bar to the trigger, and some kind of spring or elastic. This is a more challenging design, and you may want to look at photos of existing toy-gun zappers before starting on a project like this.
Lego Gun
If cardboard is proving a little too flimsy, and making something out of a toy gun is too complicated, try putting one together from Lego pieces. The beauty of Legos is that you can build them to fit around your Wiimote, and you can make your contraption as simple or as complicated as you like. Make sure the IR camera can see through the front of the zapper and leave a pass-through port for the Nunchuk. There is a lot of opportunity for customization, especially around the handle. Make the pull bar for the trigger from a handful of Lego Technic pieces, and design a trigger that works best for you. Experiment and look at guides, such as the videos listed in the Resources, to make your gun the best for your needs and preferences.