All you need is:-
Some strong glue I use some Cyanoacrylate based glue that bonds in seconds, longer drying glues may be more fiddly!
Some Caps, these are sold in most toy shops and are also available online...if you live in the UK they are now classed as "fireworks" and cannot be sold to anyone under that age of 18 (i know its pathetic...) they are available in many types 8 and 12 shot rings for revolvers, strips of 10 and the reels of 100 paper caps for the relay old style guns...these are individual caps and have to be separated from the mesh, but work well for this purpose.
Long or needle nose pliers I'll show you what they are useful later.
A knife to help separate the caps from the mesh.
And of course your projectiles. This method workd for both .22 and.177 pellet types.
Step 1: Glue time!
What i have done here is to cut the mesh into managble sections, lines of 2 each holding 16 caps.
Simply apply a small amount of glue into each cap, make sure this entirely fills the cap, the amount of glue depends on what pellets you want to use.
Pointed pellets protrude into the cap which means more contact with the glue, domed do the same but need extra filling, flat headed pellets as i said have less contact and need an almost overflowing cap.
Once the caps have been filled place a pellet in the dricetion of travel onto the cap making sure their is not too much run-off from the glue.