Not long after I purchased Jedi Challenges, I went searching to see if an official protective case was available. I was unable to find anything. The product isn't rediculously expensive, but at $200 USD, I think it's valuable enough to warrant some protection while not in use, or especially during transit; for people who want it. Something specifically designed by Lenovo, custom molded to fit all of the components would be great.
In the meantime, for anyone interested in a protective case... I found a nice solution (photos attached). I picked up a Pelican Case, Model 1450 with the customizeable "Pick N' Pluck" foam. The depth is just about perfect to accomodate the headset and the height/width is the smallest model that can fit all components. Since the lightsaber itself is not very deep, all of your cables can fit nicely beneath it in the foam cavity.
The Pelican 1450 Case is about $100 USD anywhere (I got mine via Amazon), but there are countless similar, substantially less expensive cases available. The Pelican cases are nearly indestructable and water proof under pressure, which is not absolutely necessary for this particular application. I got the Pelican personally because I can easily repurpose it for pro audio gear.