Find a jar. One with thicker glass is the best. I was lucky to find a cork plug one at A.C.Moore for $1.99
I'm not sure what this stuff is actually called (clear tinsel, i guess?) You can find it at most dollar stores in the gift bag section.
For this project, I used the base LED light, but I plan to replace it with something smaller. The light source can be entirely your choice, but I've found colored LEDs work well.
First, fill your jar with the tinsel stuff so it looks like this from the side.
Close the jar (make sure you don't permenantly seal it, in case you need to reposition the tinsel.) and place it where ever you plan to display it, with the light source placed behind it.
Turn on the light and enjoy your newly captured fairy.