I agree that it does look nice, but the materials only cost about $10:
Two burned out light bulbs
A piece of wood
Black gloss paint
Twelve neodymium magnets
(8 small cylindrical magnets, two large cylindrical magnets, two spherical magnets)
My version of this lamp is slightly cheaper than the original though, the differences are listed on the pictures.
Step 1: Hollowing The Bulbs
First remove the small piece of metal on the glass part of the base, it will help to desolder it from the wire inside.
(the small piece of metal is one of the electrical contacts, the other is the part that's threaded like a screw)
With an X-Acto knife or box cutter carefully pry the base away from the glass, it is attached by some sort of adhesive, but nothing else. Some are attached better than others, and are more difficult to separate.
Next, using a screwdriver carefully break the glass holding the filament.
Clean up the sharp edges as best you can.
Step 2: Wicks
You may discover that the hole in the base is not large enough for the correct diameter wick, if so you will need to file the hole to make it larger.
(Attempting to drill it would most likely end with a broken base)