I saw some firefly earrings a while ago and wanted to make something similar with LEDs incorporated -- I had been disappointed that they were firefly designs but didn't light up. It was a bit of a challenge to figure out how to incorporate the coin battery and design it so that the light could be turned on and off, but I'm pretty pleased with how it turned out! Great project for de-stressing before final exams...

Side note: If you like this tutorial, votes in the Jewelry and Lights contests would be appreciated!

Step 1: Materials

filigree flower (the petals will be used for the wings of the firefly)
shears/pliers (something that can cut the filigree flower)
metal file (to sand down edges of cut wings)
earring hooks (or make your own using my tutorial here)
insulated wire (like used in electrical work; you can harvest from broken electronics)
zipper (or just the zipper head)
epoxy (or something that can bond metal to metal)

Step 2: Making Wings and Getting a Head

To make wings, grab your filigree flower and use shears to cut off two petals. The edges will look a little ragged from the cutting so use a metal file to sand down the edges. No need to go overboard to make the edges completely smooth, but it'll look nicer.

Then to get the head/body of the firefly (i.e. a brass zipper pulls) you can simply cut the top stops of a jean zipper and remove the zipper pull. I had a lot of spare brass zipper pulls because my mom's a seamstress, but you can purchase these zippers for fairly cheap.

Step 3: Connecting Wings to Body

Grab the epoxy (I had a urethane combo) and use it to glue the wings to the body -- tuck the tips of the wings under the top half of the zipper pull from the sides (see first picture for what I mean). You can use the clean side of a q tip to clean up any excess -- otherwise, epoxy usually leaves a yellowish residue.

Step 4: Completion (without LEDs)

If you don't want to bother with the lighting, you can just use wire to make a small jumping to hook at the top of the zipper (you can see a little bridge to tuck a hoop through) and add earring wires (again, see this tutorial's step 8 for how to make your own).

Step 5: LED

The metal of the zipper would short circuit the LED so to protect the LED terminals, I wrapped a bit of tape at the base of the terminals (see first picture). Then you can stick the LED's legs into the zipper head. Make sure that you remember which one is the longer terminal (cathode, should go to the positive of the battery) and which is the shorter one (anode, goes to the negative side of the battery. To confirm that the tape is tall enough to protect the LED from short circuits, make sure that you can see the tape from the top of the zipper. Then just curl the top of the LED terminals down into swirls.

Step 6: Wrapping the 3V Coin Cell Battery

To wrap the battery, you need to use insulated wire (since the wire is going around the front and to the back, using copper-coated jewelry wire would connected the + side to the - side, which would burn out the battery).

Follow the step-by-step instructions in the notes of the pictures above to see how to wrap the battery and form two loops to connect the LED + firefly to the earring hook.

Step 7: Connecting Battery to the LED

Open one of the loops on the coin battery and insert it into the jump ring at the top of the firefly to connect the firefly to the battery. Then you can slip the swirls of the LED's terminals under the insulated wire wrapping so that the terminals contact the correct side of the battery (longer terminal to positive side, shorter one to negative side). The LED should now light up! To turn the light off, simply break contact between one terminal and side of battery by removing contact between a swirl and the battery.

Then just add an earring hook to the top loop of the battery to complete the earring.

Step 8: Finished and Future Steps

And now you have a firefly earring that lights up the night! Suggestions for future improvements:

I've seen people use nail polish or enamel to color the inside of filigree. Then you could customize the color of the wings.
Technically, hooking a 3V battery to a 1.7V operating voltage LED isn't the best idea, so you could add a resistor...
There's a loop on the zipper pull's tab, so you can add linkages like extra beads/bells to the firefly.
I actually wanted to use an LR44 battery (much smaller) but it was tricky getting the battery to stay put. Plus those are 1.5V only whereas the LED needed 1.7V minimum; I could hook up the batteries in series to get 3V, but wrapping around that proved to be difficult since they'd slip. I had some ideas with soldering though -- perhaps for the future.

In any case, enjoy! Feel free to leave questions/comments and I'll get to them when I can.