Step 2: Parts
The other critical piece you will need is a lens, I am no expert but I believe the lens should be convex I explain in the why it works step.
The last part is how you will attach the lens to your laser I show two ways in this instructable first is the dead simplest just electrical tape it onto the end, this is the fastest way to get burning and is a good thing to try out if you want to decide if its worth it making a better mount.
After playing with the electrical tape I decided I wanted a nicer looking and more durable yet removable attachment method so I turned an adapter out of delrin on my lathe. You can really use your imagination for this part, you can use anything you have around you, in one of my videos seen in the last step you I made an adapter out of an old magic marker.