1) Glass blocks - available at Lowe's or Home Depot and surely every other big box retail hardware store. Also available at craft stores, altho I found them less expensive at the hardware stores. The "new" ones (sometimes marketed as "craft blocks") come with a 1.25 hole already cut in one of the sides, and usually a plastic "cap" to cover the hole and hold the light string in place. They are usually 9 x 9, but I did find some 6 x 6.
If the block does not have a hole already drilled in it, you will have to do that yourself. I would Google "glass block lights" and find a video or better instructions. You will need a glass drill, and water or oil, and there is a fairly high incidence of breaking the block. Get the pre-drilled kind if at all possible!
3) Ribbon. I like the wired ribbon that is somewhat sheer, because I thought it made better bows.
Stuff the lights inside. Tie the ribbon around the block. That's it.
You can use your imagination all day long, tho. White lights, multi-colored lights, all red, all green, all purple, or a mix of two colors - whatever turns you on, or matches your decor! Then mix or match the ribbon.
I used white lights for everyone and a different ribbon for each couple for whom I made the blocks. I gave them in sets of two. I also think they could be a really nice thing for someone celebrating Chanukah.
I made five sets in one afternoon - it's really easy! And, the total cost is $6 - $10 per block, depending on what kind of deals you get on the pieces parts.
For us, I made the third small block because I wanted to stack them. In the first year, I kept them out all year and changed the ribbon for holidays: red for Valentine's day, green for St. Patrick's Day, and red, white and blue for the patriotic holidays - you get the idea. Got tired of all that ribbon-tying, so have settled for Christmas ever since.
Enjoy! and thanks for asking.