I'm watching Dragon Ball Z Kai and never really thought about it - If Bulma was able to pack up her cave back into capsules, why couldn't she put the Dragon ball(s) in the house, then pack up the house?
The resulting capsule would be small enough to cause confusion for anyone who had the dragon radar, as it would be in the vicinity (if it still showed up), but could be hidden in someone's pocket or even swallowed / regurgitated as necessary. It could have even served as a "this radar is on the fritz, we don't have any of the balls to hand over, they're still out there somewhere" excuse if cornered.
Was this simply a case of the characters not thinking to try it or is there something that would prevent the dragon balls from being shrunk down / stored in a capsule? And on that note, could you store a person / animal in a capsule?