What I used:
Canon 7D
24-70 2.8 Lens
Canon RC 5 remote
Headlamp
Colored gels
I placed the camera on the desk, (perfectly still of course, any camera movement would blur the photo). The camera settings were on Bulb, which if some of you do not already know basically leaves the shutter open until you decide to close it again. The remote was then used to trip the shutter. Once tripped, I began waving the headlamp with the colored gel like a mad man. I had several different colors but this photo below turned out the best.
Its a fun little project. Try it out for your self and see what neat designs you can come up with.