I didn't think to make an instructable till I was done, so most steps are already completed.
Step 1: Gather You Materials!
-Pliers "Preferably Needle Nose"
-Shotgun shells (Used) 12 Gauge and 20 Gauge will work. Not sure on .410 Gauge.
Step 2: Begin Making the Lights!
There are many different ways to do this, but I found pushing the end of the pliers into the shotgun shell worked best.
Step 3: Time to Finish of the Lights!
Start by finding a hole in the crimp of the Shotgun Shell.
Once found, slowly wiggle the light in the hole.
Now repeat a couple hundred times depending on how many lights you have.
Step 4: Finished Shotgun Shell Christmas Lights!
"For Indoor use only unless you Silicon the shell shut at the crimp."