Attach a lamp socket to the top of a piece of conduit which is attached to a square/rectangular wooden base. Use 16/3 wire to run the power for the socket down through the conduit and out under the base. Put the connector of your choice on the other end. Make sure to use a compact flourescent bulb, because there's no filament to break when the ghost light is moved while it's hot. All of these materials can be found at your local Lowes' Home Improvement. I have no idea if Home Depot carries all of the stuff, but lowes does!
A way to get a very special Ghostlight is to get the Behind The Scenes Ghostlight from Altman Rentals. A portion of the money will go to the Behind The Scenes foundation, which provides financial support to entertainment technology industry professionals when they are ill or injured.
The Altman Ghost light is a great item. Expensive? A little compared to what one could make on their own, but considering the money is going to those unfortunately injured members of our industry, I think it is well worth the money. I saw it down at the Altman plant a few months ago. It looks quite sturdy and should last for decades. Enjoy
Using the fixture without the supplied globe likely voids the UL listing. Jus' sayin'.
You'll get an even warmer feeling if something flammable falls against the bare bulb, or the unit gets knocked over, the bulb shatters and sparks, and burns down your theatre.