It doesn't cost that much, really. The salary of the guy running the lab is the largest expense by far. At a startup I worked at a few years ago, they had a lab running 40 hours a week. It would have cost about 10 times as much to have a market research company do this for us if it was even possible.
A couple companies ago we did it the CEO's office. Over the course of a day we brought in a half dozen people recruited from Craigslist. That one day alone gave us a lot of useful info.
Plenty of market research companies offer rooms like this for rent.