I'm certainly no expert, but I believe the trick is to angle the steel so the
bullets only hit a glancing blow. Basically a steep
funnel, that directs the flying bullets into kind of a dust trap arrangement
where they eventually lose all their energy and fall to
the bottom. Or put some sort of absorbing medium in the bottom, like sand or
Google for "bullet trap diy", you'll find lots of designs. Here's one
For higher caliber, you probably need to make the angles steeper rather than
just making the steel heavier.