All you need is a shoe box and some extra cardboard (the husband used the box lid for this). The box itself forms the main part of the rocket, and the fins, wings, and nose are made from the lid (you can use your extra bits of cardboard if you don't have a lid). He made slits in the sides of the box, slipped the wings through them, and then taped them (and the other bits) on with packing tape to secure it all together.
I should note that this is not at all how I pictured the rocket would be. In my mind it was going to be a stand up rocket shaped like a milk carton, but I'm so glad it wasn't! I never would have even thought of making it so that the Little Guy could pile his toys in it and fly them around the house.
This rocket was made in a few minutes a few months ago and it's still well played with and still going strong (although the nose has been repaired a few times with a bit of tape).