Here's what you will need:
A mini Lantern either homemade or store bought. The closest thing I could find to the 5" pewter version I originally used for this project can be purchased here http://www.vermontlanterns.com/content/wedding-lantern-brass-mini-5
(this is the model you see used in the final version).
Something to house and affix your lantern to your bike. I used the steel housing from an old bullet light because it already had the mounting bracket for a bike and it looks cool. These can be found with a quick Google search however I think it might look equally cool if someone made their own housing out of a soup can or similar for that "Mad-Max" dystopian feel. If you do decide to order a bullet light pay close attention to the dimensions as these come in a number of sizes and it is crucial that the flame has some space to breathe. My light measures about 4"x 5". Also, it should go without saying that plastic lenses would be a bad idea.
Lamp oil. You can get super pure paraffin oil at most hardware stores or craft shops. While it may not be the brightest burning, it produces less smoke than a dirtier fuel like kerosene and is less likely to combust... I assume.
Drill and Dremel