I don't know what you build when you build a cage, but you can buy paint strainers at most hardware stores that have a tight enough nylon mesh to work. You can usually get 1 & 5 gallon bags. I've used the 1 gallon bags to isolate a branch. Mostly I've used them to protect monarch caterpillars from wasps, but they're usually cheap and easy to find.
Tulle is better to guarantee purity , but the paint strainers work very well for the average gardener. Assassin bugs can stick their proboscis through the paint strainers to get the caterpillars, so it's not insect proof; but it's still cheap and decent.