Def use a covered pen. The cheapest and easiest way is to get a large strip of chicken/mesh wire. About 2 metres minimum in length and as wide as you can buy it.
Curve it to make a long 'U' or half pipe. Buy about 4 bamboo sticks from a garden centre and weave it in and out of the edges of the mesh wire or use cable ties. This helps keeps the edges straight and weighs it down. (shape should look like this
https://www.omlet.co.uk/images/emily_feld_eglu.gif )
Using wire cutters cut 2 semi circle shapes to fit either end of the run. You can use cable ties to fix the semi circles to the front and back of the main run. You can also cut a little door and fold back any metal bits that are sticking out. That way you have access to the piggies for putting them in and getting them out of the run.
Use about 6-8 tent pegs to secure to the ground.
This is such a cheap and very esay way to make a covered run (takes about 30 mins to make max)
See link to my rubbish illustration below:
http://img10.imageshack.us/img10/4069/runqdr.jpg
Hope this helps!