We melted wax in a pot on a hotplate (because I wasn't looking to have wax dripped all over my stove), then dipped water balloons into the wax. (It's important to make sure wax isn't too hot, and that the balloons don't touch the pot, or the hot plate, as any of those things might pop them, causing a HUGE mess -- we fortunately avoided that!)
We cut shapes out of sheets of colored beeswax, then used a candle to melt the shapes to the sides of our lanterns to decorate them. (Look at the top photo -- from left to right, we've got Zoo Boy's, J's, and then mine and The Map Man's, which I made for him since the poor Man had to work while we were crafting and having fun.)
Then we took tea lights out of their tins and dipped them into the melted wax so that they would stick firmly in the bottom of our lanterns.
These lanterns were 100% cool to make and to use indoors -- but they were entirely inadequate to resist the effects of a blustery winter wind. Our lanterns were all out before we even left our steps. Fortunately, we had a full moon for our lantern walk, and honestly, I think ANY lantern may have gone out with that wind. So I'm glad we made these cute ones -- we kept them burning for the rest of the evening on our nature table.