I'm a big fan of CR2032 "coin cell" batteries. They provide just over 3 volts of electricity in an very compact size. You can plug one into a small holder, then connect the leads as needed.
But what if you need more than three volts? You could connect several holders in series, but the size adds up, negating one of the important benefits of these cells. My solution? Shrink wrap!
Step 1: Get Materials
You'll need a coin cell, wire, and rather large shrink wrap. I used this package from Amazon* which worked quite well, but certainly there are others as well.
Step 2: Shrink Wrap Batteries
Cut your shrink wrap slightly smaller than your batteries, then insert them and apply heat via a heat gun or other source. As shown in the video, seeing it shrink into place in fast-motion is quite satisfying.
Step 3: Prepare Wires
Generously strip two wires, then wrap the bare wires around the insulation several times in order to form a good connection with the batteries.
Step 4: Insert Wires and Test
Slip the wires under the shrink wrap, and test to see that you're getting the correct voltage. Apply more heat as needed.
Step 5: Hot Glue
Permanently attach the wires with hot glue, clean off any excess, and you're done! You now have an extremely compact power supply that can give you between 3 and 12 volts depending on how many cells you use, or perhaps even more.