Efficient constellation design is important for improving performance in communication systems. The problem of multidimensional constellation design has been studied extensively in the literature in the context of multidimensional coded modulation and space-time coded MIMO systems. Such constellations are formally called as lattice codes, where a finite set of points from a certain high dimensional lattice is chosen based on some criteria. In this paper, we consider the problem of constellation/signal set design for media-based modulation (MBM), a recent MIMO channel modulation scheme with promising theoretical and practical benefits. Constellation design for MBM is fundamentally different from those for multidimensional coded modulation and conventional MIMO systems mainly because of the inherent sparse structure of the MBM signal vectors. Specifically, we need a structured sparse lattice code with good distance properties. In this work, we show that using an (N,K) non-binary block code in conjunction with the lattice based multilevel squaring construction, it is possible to systematically construct a signal set for MBM with certain guaranteed minimum distance. The MBM signal set obtained using the proposed construction is shown to achieve significantly improved bit error performance compared to conventional MBM signal set. In particular, the proposed signal set is found to achieve higher diversity slopes in the low-to-moderate SNR regime.