The Sherline lathe has leadscrews that are under the bed and cross-slide; these need no separate way covers. On the mill, the X and Z leadscrews are similarly protected, but the Y axis leadscrew is exposed to falling swarf.
For a long time I used an accordian fold set of covers. Mine were made from ordinary printer paper, without the glue-on end frames. They were reasonably successful; the paper was surprisingly springy.
Then I saw this set of covers offered by the Ebay seller “standarddesign910”. Just search for “Sherline way cover” and you should locate them.
The covers are sheet rubber and fasten to a frame that clamps around the saddle. I have used these covers for 2 years now and am quite satisfied.