There are warnings (read the link bonita posted) of using pyrex with dramatic heat change.  When you mix lye and water together, it gets hot fast.

Even using a canning jar (which is made to handle high heat) can explode if there is a crack or chip or just because (they sometimes "just because" in a canner, too).

I personally use a heavy plastic….stainless steel gets HOT and I can't hold it without a pot holder (unless there's a separate handle).  I have an old tupperware pitcher dedicated to my lye mixing, but an old plastic cup would work, too.  As long as it's large enough to hold all your water, you're fine.  For the retreat, we used 16 oz rigid plastic cups I found at the dollar store (3/$1).  Not something thin that will "bend" when it gets hot.

CindyP said:

stainless steel gets HOT and I can't hold it without a pot holder (unless there's a separate handle).  

Also, the stainless steel RETAINS the heat, so you'll need that potholder when you mix the lye water with the oils…very cumbersome.  Unless there's a separate handle of course :)