Two options that I'm aware of, at least in terms of store bought products: the inflatable method (
This appears to be a particularly well thought out one, with the inflation into the cheeks
and behind the teeth), or the regular stuffing method (something like
this one)
(Note that I'm not specifically endorsing Extreme Restraints over any other store, it's just that I browse their catalogue somewhat frequently to keep abreast on current innovations in toys, and thus knew they had exactly what I was looking for.)
As far as DIY is concerned, inflatable is probably out, unless you have much more sophisticated equipment than usual. (If so, copy the butterfly gag's design for a starting point.) And the stereotype of sock/stocking/panties stuffed in the mouth has a few problems. Some manner of non- or pleasant-tasting container shaped to fit your mouth and hold something - preferably fairly dense, for the added ability to block grunts. Realistically, if you get total silence, its because the person wearing the gag is either asphixiating or dead - a grunt is audible from the neck, too, but stuffing their mouth with something a little better at damping sound than thin fabric would probably be viable.
