The AnTek covers are built like brick $hithouse. They are actually an integral mounting system/cover. Bear in mind the cover cannot touch the mounting surface, presuming it's mounted to a metal panel, as it will create a shorted turn. The cover and mount has an integral 0.050" air gap but unless the mounting panel is very rigid it's not to hard to close the gap. I made insulated mount bushings for mine, basically the same concept as you see for transistors, but larger. It increases the air gap but more importantly with the bushing the transformer mount/cover is electrically isolated from the mounting panel/chassis.
Quite a number of people suggest any sort of cover, like small aluminum pans or whatever.