I have a 2006 Sienna XLE Limited and only one master key left. I purchased and cut two ebay purchased keys (keys, ~$8/ea and cut at Ace hardware, ~$3/ea) to work using a similar method. I've outlined it here and I've included a link to a youtube video that helped tremendously:
Here's what I did:
1) Start process with all doors closed
2) Insert existing master key 5 times, leave key it in on the 5th time
3) Next, open driver's side door 6 times, leave door closed on 6th time
4) Remove master key, security light should be solidly on (not blinking). You are now in programming mode.
5) Insert newly cut generic transponder key, leave in ignition until security light goes out (for ~ 60-90 seconds)
6) Remove key and start engine with master key, leave on for 20-30 seconds. Turn off engine and remove master key
7) Now insert newly programmed key, check to see if security light goes off, then start engine. Voila!, it should work.
8) You can't insert another key immediately afterwards (I was able to do this with my 2000 Avalon keys, but not with the 06 Sienna) to program it. You have to start the process over again, from the beginning, with any remaining keys you want to program.
Here's a link to the video that confirmed the process/helped me (it's for a 2004 Sienna, but it's the same process):
Hope this helps somebody out too and contradicts other posts out there (Lots I read via Google) that this can't be a DIY project.