I just took the angel hair from a Christmas tree topper... I pulled a bit of it out of the larger ball and just kinda "fanned" it into a rough cone-shape. I used a GoR (Grain of Rice) bulb instead of a GoW (GoR bulbs are smaller) and glued it to the gun's muzzle. I then glued the 'glass over the bulb and shaped it a bit more until it looked like a flash, trimming it here & there, until I was happy with it. Always glue on more than you think you'll need, BTW..
I ran the wires down the back-side (out of sight to the viwer), and back to power source. If I had it to do over, I'd use LEDs though... Bulbs burn out. Especially if you put 9 volts thrugh one...
When you use LEDs, remember to tie in a 1/2 watt resistor to soak off some voltage. They WILL fry if you hit 'em with too much juice. Also, wire your lighting in a parallel cicuit rather than a series. In a parallel circuit, if one bulb goes out, the rest will stay lit. In a series, if one goes out, ALL go out, which, if nothing else, is a PITA to find the culprit...
For power, I use a model railroad transformer, the kind that come with train sets (I hunt garage sales for stuff like that), but you can build your own rheostat fairly easily, or just buy 'em from Radio Shack or the like... You could even use the wall-switch types used for 115/120 v lighting, just put it in FRONT of the transformer, rather than between your tranny and lights. I prefer rheostats in order to control the brightness and to extend bulb-life.