It's easy to make, and cost a few resistors and LEDs(you don't have to use them).
Step 1: Materials
1. 6 LED with different colors to show that the buttons are pressed down
2. 6 220 Ohm resistor to protect LEDs
3. a general purpose solder board
4. some wire and connectors
Dance pad parts:
1. Aluminum Foil ( Which are used to bake stuffs)
2. Big paper box( you can certainly make a Wooden frame)
Step 2: The circuit and test
As we push down each button, the LED will light up, and make the corresponding pin from LOW to HIGH. This message will be send to computer as a serial message, and caught up by a python program which then simulate this message to a key press message.
I made the circuit on a general purpose soldering board using some small connectors, so that I can easily plug it into the Arduino board which can be save for other projects. You may make a better looking board than I did, since it's rather easy, I used some wires to connect around.
Once you made the circuit, you can connect some of the wires together to see whether the LEDs light up correctly. And then you can go to the next step, setting up the software.