All you'll need is transparent plastic pony beads in various colors. Cheap is good - I picked up two of the packets below at Walmart, for about $4.50 a piece, so $9.00 total cost for hours and hours of fun. You'll also need various oven-safe molds in any shape your heart desires. I stuck with cake bread and muffin pans as I knew they were 100% oven-safe. You'll also need either a toaster oven outside, or a lot of open windows inside as the melting part of this project is extremely stinky.
You can create a fantastic design (like the one my niece made below), put one or two favorite colors or toss in all of them, they all create different feels - be creative. The most important part of this step is that the beads are evenly spread, all touching and only one layer thick.
Here is my handy toaster oven outside in the patio (away from children, pets and anything flammable), remember its really stinky when the plastic is melting. This completed design ready to go in the oven.
Below it is after it spent 20 minutes in a 400 degree oven. 20 minutes like clockwork. Since we had four kids all designing, cooking and designing some more, I would literally set the timer for 20 minutes, walk away and check on it when I go the chance. Worked every time. Use extreme caution when removing the melted beads, everything about it is hot - put it down and let it cool.
When its cool, they just slide out like butter. A few times, specifically for the muffin pans, you may need to tap the pan on the side to lessen them up, but they always came out with no sticking. After they are cool and out of the pan, you get to be creative again. I have seen people make these into magnets, hanging sun-catchers (like the one below). To put a string in to hang it. Use a drill to make a small hole and insert string/yarn into the hole. Tie it up and you are good to go.
Have fun creating, I'd love to see what you come up with!