Okay, so I didn't have ping pong balls just lying around; I ordered them in bulk from Amazon specifically for this. But they're very inexpensive if you look in the right places! I've found that if you search for "beer pong" balls, you can get the cheap ones for, well, cheap! The thinner the material, the easier it is to poke an "x" into the ball with an exacto knife.
I don't think this project needs much explaining, so I'll stop talking and give you the pictures. Here we go!
I love the soft glow these produce, so I leave them up year round. I've even put them out on the patio for special events!
Note: Some commenters have mentioned that ping pong balls are flammable, so you should use LED lights which don't get hot! I, however, have had mine on normal Christmas lights for several years now, and no heat issues yet!