To make your own luminaries you will need a paper bag, vellum, a silhouette cut out, and a glue stick. I got lucky and found these pre-cut silhouettes at the Dollar Tree. Since I made these for a swap I used nice bags but if I was going to do a set for myself I would probably use the paper lunch sack style.
Begin by gluing your silhouette to the vellum them cutting it out. Be sure to leave about 1/2 inch on each side of the cut out so you can glue it.