The set is just a bunch of light bulbs hung at random heights. Simple but very effective. We built them from lamp cord, ada-tap connectors, and lamp bases to make ours and wire them (see links below).
You can zip tie up the slack to get the desired height. We put ours on dimmers so that you could either have a nice black background, or the star like effect you see in the pictures.
Here are the links for the items needed:
lamp cord (http://www.homedepot.com/h_d1/N-5yc1v/R-202206458/h_d2/ProductDisplay?langId=-1&storeId=10051&catalogId=10053)
ada-taps male (http://www.filmtools.com/quicmaledplu.html)
female (http://www.filmtools.com/ad26ac29.html)
lamp bases (http://www.homedepot.com/Lighting-Fans-Indoor-Lighting-Indoor-Lighting-Accessories-Lamp-Parts-Accessories/h_d1/N-5yc1vZbvmp/R-100356874/h_d2/ProductDisplay?langId=-1&storeId=10051&catalogId=10053)
