Step 1: Find a suitable CD stack spindle
But the spindle that held the blank CDs was quite nice, and the little plastic top that held the whole thing together screwed on nicely.
Obviously this won't work with just any spindle without some ingenuity. Hopefully whatever you have lying around can be made to work.
Step 2: Drill holes in the CD
You could also put the silver, shiny side up.
Start with the CD.
I used a Dremel cutting tool, but a power drill would also work.
1) clamp the CD firmly to a piece of wood. The wood will have a few dozen tiny drill marks in it when you are done, so do it on a piece of scrap.
2) wear eye protection, as the plastic bits from the CD fly around a lot
3) I just eyeballed the hole placement, but you could neatly mark it with a felt tip pen. The holes are about 3 mm from hole centre to edge of CD
4) I would suggest drilling from the side that will be down when you are finished. i.e. the 'wrong side'. You will not get any clamp marks that way.
5) Drill holes all around the CD