Select a work area where you can get a bit messy. Using a small brush, paint the foam balls with craft paint. Make sure to choose colors that will allow light to show through. Set balls aside to dry.
Make a pattern from a small piece of cardboard to create cube-shaped light covers. Using the pattern, trace four squares in a row onto a sheet of colored vellum paper. Trace one square above the second square in the row. Use the top line of the second square as the bottom line of the fifth square. Cut out the pattern in one piece and fold along the traced lines. This will create a cube with one open side in which to place a light. Secure with tape and repeat with additional sheets of vellum. Online tutorials demonstrate origami versions of this.
Place a line of hot glue around a crochet ring (available at craft stores). Secure the crochet ring to the open end of one of the small paper lanterns. Set aside to dry. Repeat for as many lanterns as you want. If your paper lanterns already have a plastic ring, skip this step.
Glue crochet rings to the completed vellum cubes. Place hot glue onto the crochet ring, then place the ring onto the open end of the vellum cube. Set the cube aside to dry and repeat with remaining vellum cubes.
Arrange the strings of lights, foam balls, vellum cubes and paper lanterns in an eye-pleasing pattern, paying attention to how the colors mesh together. Secure the balls to the light string by firmly pushing individual lights through the balls. Insert lights into the cubes, then close the open ends and secure them with tape.
Use florist wire to secure the vellum cubes and paper lanterns in the desired locations. Thread the wire through the attached crochet ring and secure it around the wire on your string of lights. Twist the wire and bend ends down to secure it and prevent it from poking. Hang your string of colorful lights, plug them in and enjoy.