Luckily, the store put the lamp dimensions on the tag along with the price, so I didn't have to get my tape measure :)
(you might not be able to see in the picture, but the dimensions printed are 36" x 7" x 7". I know this is different from what the website says which is 36" x 7" x 11". It turns out I noticed this while writing this instructable, but I personally like the 7" x 7" look)
I called around some of the local acrylic suppliers in the GTA (I'm from Ontario), and the cheapest one was PlasticWorld
From them I got the following (cut to size) frosted acrylic sheet (I think they call the frosted sheet P90?):
2 pieces 3/16" x 7" x 36" for the sides
2 pieces 3/16" x 7" x 7" for the ends
2 pieces 3/16" x 7" x 5" for the two top sections which the light bulbs attach to (I trimmed the 7" length by about 3/8" using a radial arm saw so that the tops were glued 'in between' the sides, rather than along the top. This gives a cleaner look.)
I also bought some acrylic glue (actually it is a solvent, so you actually get a chemical bond when it dries. A bit like welding for plastics). The stuff I got was Weldon 3. It had the consistency of water (very low viscosity), so I would recommend anyone else trying this to use a thicker glue as it was difficult to apply.
Total cost for the acrylic and glue: ~$60
For the lights, I purchased two IKEA HEMMA cord lights (in black) for approx. ~$10 each
For the stainless steel box, I got a 16 gauge stainless steel plate 7" x 18". In addition, I got a 1" x 42" piece which would complete the electrical 'box'.
You'll also want to pick up 2 rubber grommets from Home Depot (about $0.50 each) which fit the lamp cord.