When I knit at home, I use one of my yarn bowls. But I also take my knitting with me just about everywhere, so I use a yarn bag to keep the yarn corraled. It also helps to keep it away from little ones (two and four-footed ones alike) when visiting friends.
This Turtleneck yarn bag is knit from a wool/acrylic blend, and will hold one of those huge 'shawl in a ball' skeins easily.
When I originally wrote this pattern, I wasn't sure how well it would work, but I found that it acts a little like a yarn girdle - and, it's comfortable enough that I can just slip it on my wrist for easy access to the yarn.
Note that it's best used with center-pull cakes/balls.
Hand wash, please, and lay flat to dry.