Step 1: Materials
Strand of Christmas lights.
Lots of 20-gauge shotgun shells. ( used! )*
A pair of pliers.
And a lot of patience...
*be sure to clean your shells well. You should also polish the metal end of the shells if they are old or rusty.

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Assuming you live in a country that allows for the civilian ownership of shotguns, or firearms in general, just pop down to your local range (outdoor range) and look or ask about to see if they have a pile of them laying about. Most places that don't make you take them home with you will have them somewhere.
Worst case scenario is they don't, and you'll just have to go searching at a different range.
Oops - that's not politically correct - it better - its patriotic!