I stacked up rail road ties in sort of a C shape then mounded up a dirt pile behind it. Nothing gets through and any ricochets get funneled in by the slanted sides.
I've got plans for backstops that I got from the MN DNR that are made up of a C or U of railroad ties and then filled with sand-on the inside...
Haven't tried it yet, them ties are really hard to get out from under the tracks in one piece.