All you have to do is get some wick, some medium gage wire (use an old wire hanger--or on a smaller scale, you can use a paper clip!), a mason jar and some olive oil. Apparently you can add essential oils to scent the lamp!...but I haven't tried that myself yet. I did try canola oil, but the olive oil had a much more pleasant smell!
I bought my cotton wick at Michael's craft store in Corpus Christi. Make certain the wick material you use does not have any nylon or poly-anything in it as this will melt, and won't burn cleanly--it must be cotton. You can also make your own wick by cutting thin strips from an all cotton dish towel and braiding it. I would not recommend terricloth (towel material), just simple cotton material for this part.
Once you have the wick, wire, mason jar and oil: 1) Bend the wire in a tight coil in the middle, (wrapping it around a stick or the end of a screw driver) seated on a 2inch-ish circle stand--so that the wire can sit in the bottom of the jar 2) Bend the wire out from the middle wick "seat" and bend a hook on the rim. This keeps the wick from falling over and gives you something to grab onto when you need to light the wick. 3) String the wick up through the middle of the coil (it should be tight enough to hold the wick upright.) Too much wick exposed will cause the wick to smoke, so only allow 2-3mm to poke out. Leave approx. 5 inches of wick coiled in the bottom of the jar. 4) Pour pure olive oil up around the wick, and stop about 1 centimeter below the wick. You can pour the oil over the top of the wick to speed things up, or you can wait until the oil is soaked up by the wick before lighting. 5) Grab the hook and pull the wick up to light. Since olive oil isn't as flammable as petroleum, be patient, it may take a minute to light.Voila! The result is a soft, warm glowing light, you can use again and again! Neat huh! Once you get the hang of this, you can do all sorts of variations...different shaped jars, colored glass bottles...I have even seen this done in a upside-down light bulb!!
If you need a little more explanation than my notes check out Wikihow here. - Alice Rose