Step 1: Assemble the materials
1 IR LED - i got mine at radioshack, apparently Mouser has good ones also. Make sure its forward bias is <= to 1.5 V, or you wont be able to drive it with a normal AA battery.
1 momentary switch, the smaller the better
1 Sharpie marker/highlighter
1 AA or AAA battery
and some wire, both regular battery-pack-connector style wire and optionally some thicker gauge wire for making the springs on the end of the battery compartment.
Step 2: Prepare the Highlighter
To make a hole for the switch I used a cheap soldering iron to melt a circle into the side of the pen slightly smaller then the switch. Then, before the plastic had cooled, I pushed the switch into the hole ensuring the switch fit snuggle and eliminating the need to glue or otherwise attach the switch later.