Real horseshoes are banned in this house from an incident with a large heavy horseshoe, a mom who shall remain nameless, and slippery sunscreen hands. We decided to make our own and came up with a version that could possibly be played indoors as well!
For the post we put some heavy rocks in tin cans and duct taped them together. You could make one out of a paper towel roll and paper plate with some sort of weight on the bottom as well.
For the horseshoes we cut the shapes out of cardboard. You'll need some sort of weight to the horseshoes for them to throw easier. Little kids may do ok with just plain cardboard or doubled up cardboard. You could add nuts and washers or coins as well. You'll want weight on the bottom and top of the horseshoe.
Wrap with foil or duct tape and you have your set!