Yes, I remember being shocked at how quickly they got out of the whelping box we had as well. They were in our bathroom, so them getting out and on the cold floor was a concern!
(It was mid-Oct) When they were about a week old, we moved them to a small kiddie pool in a pinch, which worked great! (another breeder I'd worked w/ suggested this)
Hubby actually built a wonderful box for this time around...3 x 3, 10 in high, removable bottom and covered in slightly cushioned vinyl so the whole thing can be easily hosed off!
He even got a tan-ish colored vinyl because "it matches the dogs."