You could always start with a bike box (or TV box), and stuff extra sheets of cardboard into the sides of the box.

I suppose there is some risk of penetration, but I think the biggest risk to bikes is stuff moving around inside the box, and/or things like derailleurs inadequately protected.

If I had my way, I'd ship the frame and wheels in separate boxes. Perhaps that would even work on an airline if you have two "bags". Just stuff them with laundry and other stuff too.

If you really want a tough box, then hunt down a plastic bike box, either new, or used on Craigslist. That is, assuming, you have a place to store it at the destination.