As a direct result of this thread I bought a cheap pouch from Amazon. It works perfectly, and blocks the rfid, so keyless entry does not work while the key is in the pouch. Note that I also tried just some simple aluminium foil and that also works. As long as the key is entirely wrapped, doesn't have to be reams of foil, just 1 small piece and as long as the key was enveloped with no gaps, that also worked fine.
I had no idea of the threat of a relay attack until I stated looking into it after seeing this thread. Granted there were articles from the sun and mail and express, all scaremongering and making a big thing about it. I just ignored those and read some sensible articles that explained it, and it looks like my cheap pouch has mitigated the threat.