Well the lights are from a store but what covers the light bulbs are "snowballs" I made last winter. I'm afraid I have no making-of pictures but I'll try to explain how I made them.
What you need is
- waterballoons or regular balloons blown very small
- wallpaper paste or glue watered down
- somewhere where to hang the balloons to dry
I tied a piece of yarn to the knot on the balloon and hang the balloons to dry. Next day they were perfectly dry and I poked the balloon with a needle and removed the scraps of the balloon by one of the holes there is left between the yarn.