It all depends on the look your going for. If you want a diffused look, then pex, thin wall pvc all are good options.
If you want to spend as little a possible, just zip tie a strip to some EMT or pvc. It looks fantastic, even facing down and viewing from 30-40' away ... to me thats cheap low-tech diffusion, because the lights are so bright ... than even downward facing rgb flex strip can more than hold its own with incand. lights. Right now, my arches shine onto the snowcover and lights up the snow ... can't beat nature for lighting effects.