Step 1: Gather the parts
1 empty film canister (if you've gone all digital, go down to the local developer or camera store, they just throw these things away).
1 9vlt battery (doesn't even need to be a new one, I've found that ones run down to 7vlts will still light the LED's. So go replace the ones in your smoke detector, and use the old ones in your light.)
4 red LED's (I've used everything from the dimmer red "indicator" ones to the clear "Super-Ultra Bright") just make sure they are all the same.
A piece of packing foam, sponge, or packing "Peanut", about the size of the battery and about half as thick.