Kids love shadow puppets, at least my kids do. So I thought I'd try to help them make the experience a little "more".
This instructable is the results of our trying a few different things.

We tested a few different light sources and a few different "slide colorings".
Ends up most flashlights have light that is not oriented ideally for a good projection.
But, my iPhone and I'd assume most iPhones do.
For the "slide substrate" I landed on what was available, namely clear packaging plastic. The stuff you get from clear to-go containers and blister packs. I took some flat parts from some empty packages and used those.
For the "slide colorings" we tested kids crayons, kids markers, and sharpie markers.
Crayons produced dark marks (perhaps good for shadow cloud effects) but not colored effects.
Kids markers didn't work too well (they "bubbled up" like water does on wax paper).
But permanent sharpies worked remarkably well!

Step 1: Materials Needed

Clear plastic (flat)
An iPhone light source (or other, but I found this worked best)
Sharpie colored permanent markers
Paper
A white-ish wall
A dark area to project into

Step 2: Draw on Plastic With Sharpies

Yep. It's that complicated.
Go crazy with characters (my kids draw animals and people).
Or effects like water or setting sun.

Step 3: Shape Editing (cut Work)

Mistakes happen... And sharpies don't erase. So use the scissors to edit out the mistakes.
(Or use the scribbled out mistakes as the "evil squiggle guy" in your story... Or make something up... You can do it, you know you can...)

Step 4: Turn Out the Lights

... And turn on your lamp
Hold your characters up and have a good time!

Step 5: Get Creative With It...

Think up other things you can do with this...
Shimmering effects
Rear projection
What materials work differently than sharpies?
What if you did a stained glass effect?
What if...