The lights can be purchased at multiple places online like eBay, Amazon, DealExtreme dx.com but I purchased my Lights from a site called Banggood (took almost two weeks from China$ here's a description and a link to the site I paid $2.96 each
3M 30 LED Battery Powered Fairy String Light Wedding Party Xmas Tree Decoration
I then went to Lowe's and bought a .25"x20' roll of tubing for $2.99 see site below
Step 1: Cutting the Tube & Incasing the Lights
First warm the tubing by either using a blow dryer or sitting on it or just holding it to your body for a bit to make it more pliable then run a knife down the inside of the tubing to split it open the whole length of the tube (BE EXTREMELY CAREFUL) then fold it in half against itself (see pic) to expose the tubes inside which will allow you to slip the lights into the tubes center & as you move forward the tube will close incasing the lights
Step 2: Weave Almost Finished
Now that the lights have been put into the tubing it's now time to put them on your wheels.. Start by zip tying the battery case to the inside of the wheel near the axle then run the wire up to the top of the wheel and start weaving the tubing in & out of the spokes until you've run out of tubing.. You can zip tie the tubing to the spokes as much as your heart desires but I only used three zip ties one at the start of the weave, one in the middle & finally one on the end..
Note: Tape both ends of the tubing so not to allow moisture to get inside
Step 3: Wheel Be Enlightened While Riding
Wait for night & turn on the light & have everyone in your neighborhood breaking their neck to see a URO come rolling down the street.. I plan on taking mine back off & making a star pattern on the wheel which should look like two stars rolling down the road..