I have a padded fabric cooler bag that was designed to hold a six pack of cans, and ice, with a zipper flap for a lid. For years I used it as a camera case, but now it's my HID bag - being a cooler bag, you can dump the light in there after diving, and add a little water to keep it wet and stop the salt forming after diving until you get it home. After putting the light in I also put my computer, compass, and drysuit pocket contents in there. Get home, clean the gear, rinse the bag, let it dry, put everything back in for storage (after disconnecting the battery).
A neoprene stubby holder (can/bottle holder) also makes a good lighthead cover to protect the bulb.
Works great, and is a lot less bulky / lighter / cheaper than a Pelican case.
[edit] - MechDiver's paragraph about leaving the lighthead clipped off until diving is basically what I do - leave the cover on until you're wearing the rig and ready to put your fins on etc.